Where do you mean, exactly? As in the area where which modern countries are?

Before the Roman conquest, many different nations (Illyrians, Celts, Dacians, Pannonians, Thracians to name a few) were polytheists who worshiped their indigenous gods who corresponded to different aspects of nature and life like fertility, war, metalsmithing etc. We know that these deities existed but don't know much about them, save some names (Anzotica, Sentona, Vidasus) and very few iconographical representations (Thracian Rider God).

With the Roman conquest, through Romanization and the process called interpretatio Romana Romans introduced their gods (Venus, Mars, Iuppiter) and merged their attributes and iconographical representation with the gods of the native population. Over time, as people became more "Roman", so did their religion change and they worshiped gods with LAtin names and appearance which little resembled to their original, native counterparts. The reverse process was also common, with many native gods entering official Roman religion (Isis, Mithras, Serapis), but this was far more often an occurrence in the East.

With the Late antiquity and Early middle ages the situations goes like this:

Roman paganism and Christianity before and during the Migration Period. Slavs and Avars brought with them Slav paganism and variations of Tengrism for steppe nations like Avars, Bulgars and much later Magyars and Turks (in a broader sense). Christianity was also widespread, especially in places which where under control of the Eastern Roman Empire (coast cities in Dalmatia, Greece and cities in the Balkans which are today part of Serbia).

Citatitions and places to read more:

MacMullen, R. 1981, Paganism in the Roman Empire, Yale University Press, New Haven

Mócsy, A., 1976, Pannonia and Upper Moesia

Domaszewski von, A., 1895, Die Religion des römisches Heeres

Wilkes, J. J.1992. The Illyrians. Oxford–Cambridge, 1992.

Ando, C. ,2005. Interpretatio Romana. Classical Philology, 100(1)/2005: 41-51.

Which part of South-Eastern Europe? Do you include Hungary in that?

Most of South-Eastern Europe (including the areas of modern-day countries like Serbia, Greece, Croatia, and Albania) was either under direct or indirect Roman control. In fact, Constantinople (today known as Istanbul) was the capital of the Eastern Roman Empire from the 4th century onwards, while 17 emperors were, apparently, born in what is now Serbia.

Thus, like most of the Roman Empire, by the time of Christianisation, the local religions had been replaced by, or assimilated into, the Graeco-Roman religion (the Greeks of course, didn't change their religion much).

That's probably why you're not finding much in your research, if you're looking for native religions you need to look into pre-Roman religion in these areas.

Here is a basic map to show you how much of south-eastern Europe was under Roman control (pretty much everything south of the Carpathian basin): http://www.crystalinks.com/romanempiremap.gif

One final note: large parts of South-Eastern Europe were settled by non-Christian, non-Romans, such as the Slavs and Magyars. They of course, had their own religions, though within a few centuries they'd mostly been converted to Christianity. However, this was much, much later, in the latter half of the 1st Millenium.