The best way to describe it would be to say that the Macedonians were in the Greek cultural sphere. They were always on the fringes of Greek civilisation and the actual Greeks, the Ionians, Athenians and so on considered them to be a bit uncouth if not actual barbarians. We do know that the Macedonians had their own language, but there are very few traces of it left because the elite only used attic Greek. People have speculated pretty wildly about what it was actually like, saying that it is a cousin of Greek, a Greek dialect related to aeolic, a Greek dialect related to Thracian, a separate language and so on. In religious terms, the Macedonians followed the traditional Greek pantheon of 12 gods. However, their material remains point towards a close cultural kinship with neighbouring Thracia, Epirus and Illyria along with many Greek influences. By the time Alexander rolled around though the aristocracy had been deeply hellenised and were Greek more or less. For instance, Philip II had horses competing at the Olympic Games, at which only Greek speakers were allowed to participate.