Short answer: They all converted to Christianity.

Long answer: Both Greece and Egypt were incorporated into the Roman Empire. Roman religion was very, very similar to Greek religion. Not exactly the same in every way, but almost the same. Essentially, you can see it as two cultural branches of one religion. So, under the Romans, the Greeks just continued to worship Zeus (who the Romans called Jupiter), Aphrodite (Venus), Ares (Mars), etc. The Egyptians I'm not quite so sure about. I know some Egyptians kept worshipping their traditional gods (the cult of Isis was very popular in the later Roman Empire), I don't know to what extent they were syncretised with Hellenic religion, but Egypt was ruled at this time by a Greek dynasty, the Ptolemies. Christianity had inroads in both Egypt and Greece, but was very much a minority religion.

However, after the conversion of the Emperor Constantine, and his patronage of Christianity, it became rapidly more popular, with more and more Christians. By 380, it was powerful enough that the Emperor was able to declare it the State Religion. Now, this didn't make Hellenic Paganism illegal, but it did mean that the state no longer supported temples in any capacity. Without the support of the state, Hellenic Paganism couldn't compete with state-supported Christianity. As it withered and Christianity's power increased even more, there were occasional more serious persecutions of Hellenic Paganism. Eventually, it became illegal, although by this time it appears to be almost completely gone in the cities, with just some continuation in the countryside, which also soon disappeared (although there were plenty of superstitions, saints' shrines and so on, that were continuations of Pagan practices: nevertheless, it appears no-one was worshipping Zeus, Horus, etc anymore).