Religious nationalism is a bit of a hard term to rectify, as, though a broad geographic area can share a certain religion, there can be numerous divisions of ethnicity/culture/language what have you that can make any sort of unity within the religious body to be extremely difficult.

However, in the Early Middle Ages and through the Crusades, the concept of Christendom(or Ecumenism) arose in Europe, as the Christian European nations would define themselves by their shared faith, and relatively similar cultural values and institutions, as opposed to the Muslim world to which they viewed as the unholy heathens.

In terms of ethnic nationalism, this question becomes much easier. Now bare in mind my speciality is in European history, so this might not be true for the rest of the worlds cultures, however ethnic nationalism as we know it today began truly with the French Revolution(1789).

The French were discontent with being ruled by a monarchical government, and would see to it through revolt and overthrow of the regime that the country known as France would be ruled by the French people, rather than the King of France. This proto-nationalism would spread across Europe, as the French Revolutionaries would lead there armies across the continent to spread their ideals, and set up revolutionary governments in other countries(though these became largely French puppet governments).

Nationalism as we know it was born out of these countries reactions against being ruled by what they saw as foreigners, most prominently in the German states. The German people were ill-content being ruled over by Frenchmen, and wanted to be ruled over by those who spoke the same language, had the same faith, and same customs as they did, thus beginning the current phenomenon of Nationalism in regards to a nation-state.

This concept would grow in strength throughout the 19th century, until finally upon the conclusion of WWI the great multiethnic empires of Europe(Austria-Hungary and Russia more specifically) would be broken up, and their ethnic minorities would be granted their own nations in their ancestral territories.

Of course, WWII showed us the issues of runaway nationalism and irredentism, but yea I think that about covers it.