E.g: Monday comes translated from latin, dies lunae or day of the moon, Tuesday comes from the old English Tiwesdæg, for the germanic Tiwaz (aka Tyr). Likewise Wednesday comes from Old English Wōdnesdæg, for the germanic Wodan (aka Odin), Thursday comes from Þūnresdæg, for the germanic Þunor (aka Thor), and Friday from Frīgedæg for anglo-saxon Frīge (who is likely derived from either or both of the germanic Freyja and/or Frigg). However Saturday and Sunday both come from latin, from dies Saturni (or Saturn's day) and dies Solis (or day of the Sun), respectively. Since German follows this same pattern roughly (except for wednesday, which is Mittwoch, or midweek, and saturday, which is either Samstag, which derives, through a roundabout way, from Sabbath, in west and south german, or Sonnabend, or roughly Sunday eve, in north and east central german), so I'd presume whatever change came fairly early in the development of proto-germanic language, but how did it come about that only some days derived from latin and others from germanic gods?
Except for Saturday, they're all calques of the Latin names for the days of the weeks, which are in turn, calques of the Ancient Greek names for days of the week, eg. Sunday < Sunnōniz dagaz = dies Solis = hēmera Hēliou.