So, it's somewhat amusing to me that the information about Picts on askhistorians is fragmented, oft removed and lacking in depth. It's maddening but fun nontheless.

u/Brotherbear561 goes into a great depth on their name, where they came from and to a lesser extent where they went in his post here: https://www.reddit.com/r/AskHistorians/comments/aj4x52/the_original_name_of_the_picts_in_the_scottish/eeu169i/

whilst u/jlsturgeon talks more about their P-Celtic roots and late assimilation here: https://www.reddit.com/r/AskHistorians/comments/48tili/why_did_the_picts_become_gaelicized_rather_than/d0msj4m/

u/Daeres talks about the use of woad (what is mostly accepted to be the plant used for the blue markings attested to Picts and other Britons).here: https://www.reddit.com/r/AskHistorians/comments/xocwm/who_exactly_were_the_picts/c5o8qed/

I can't be sure as to when the conversion started and was finished but in his Ecclesiastical History of the English Bede talks of the Picts in their own language discussing the divine truth. This directly implies that by the early 8th century the Picts were known to be Christian. Any talk of them holding Celtic druidism prior to conversion is pure conjecture on my part.

I hope this collection of quotes is illuminating and as always there is a LOT more to say but this is the best answers to your questions I can find on the subreddit

The Picts are a very interesting people. They were a force in Scotland from about 300-900 AD, and occupied territory roughly from the Firth up to the Tay, in the east. With the exception of a few key documents, everything we know about them is from archaeology or from chronicle accounts hundreds of years after they merged with the Scots and Dal Raita. The most obvious, and stunning, of these artefacts are the Pictish Symbol Stones, which bear a remarkable set of symbols. There is a fair amount of debate about what these symbols represent. The most popular are that they are a language or family names that mark boundaries of land ect. What makes this so fascinating is that their society operated on a barter system rather than a monetary tender, as best we can tell. The fact they were able to support dedicated and learned artisans is amazing.

To segway to your question about their religion. There are three distinct types of Pictish Symbol Stones. Class 1 are pre-Christian, made from unshaped rocks and have the most rudimentary artwork. Class 2 fall somewhere in the middle. The rocks are shaped to a degree and the artwork has become more intricate. Often these will contain Christian symbology in addition to the Pictish Symbols. Class 3 stones were much more intricately shaped, many were shaped into crucifixes, and the artwork was carved in relief. By this point Pictish Symbols had been mostly abandoned in favour of Christian ones. If you want to get and idea for pre-Christian Pictish religion, look into the cult site at Rhynie.

Last thing i'll touch on is their connection to other cultures. There is a false assumption that the Picts were an isolated people. I suspect this stems from the lack of documentary evidence, their antagonistic relationship with the Romans, and relative lack of finds that indicate trade. The latter stems from poor funding for Scottish archaeology unfortunately. The aforementioned cult site at Rhynie holds some fascinating evidence of Pictish connection with their contemporaries. There is Frankish, modern day France, glass shards and shards of Amphorae, which is a Roman pottery that came to this site all the way from Byzantium. Moreover, the religious practices observed at the site are remarkably similar to some in mainland europe involving ritual sacrifice of animals. All this goes to indicate cultural exchange.

This is a massive question, and one that is a really current field of interest. In addition to the other excellent comment, a book I would recommend is 'Picts, Gaels and Scots' by Sally Foster. It has been revised quite a few times as her opinions developed. I believe the most recent one is 2014. Sally is a tutor of mine and the book is very informative. Breaks down big ideas into digestable chunks and draws from a wide range of evidence.

Fascinating work has also been done by Gordon Noble. His most recent work, 'The King in the North', came out this year and looks at a new discovery of his.

If you would prefer something less intensive, Tim Clark's book 'The Picts' is pretty good, especially for a narrative history.