Was there ever an established religion in mainland Pre Christian Europe other than local Pagan beliefs? I say this in comparison with Pre Islamic Persia who had Zoroastrianism, Pre Islamic Egypt had Christianity....
There was never any unified religion worshipped throughout Europe prior to Christianity and it is worth noting that pre-Christian Egypt was home to a multiplicity of spiritual beliefs.
While it would be excellent if a user could provide a more detailed answer here, I wanted to recommend taking a peek at our FAQ to learn about the varied and unique belief systems that were practiced in Europe during the periods that you are interested in:
Religion, spirituality and magic in the Roman world
Greek religion and spirituality
Hopefully this helps some!