Firstly, the rural parts of the Deep South where the acoustic blues originated has always been quite a fervently religious place, whether you were white or black - the rock'n'roller Jerry Lee Lewis famously had some angst in the studio about making the devil's music (and he followed in many ways quite a different path to his first cousin, the televangelist Jimmy Swaggart). In the black community in the Mississippi Delta, churchgoing and religious observance played an important role in respectability in the community; there was a very strong dichotomy between following the path of respectability, and ...everything else. In contrast, the jook joints (unofficial pubs/bars) where blues musicians played were very much not respectable - they were dangerous places, with a lot of hair being let down, and a lot of sinning to be done. Robert Johnson seems to have died because he was poisoned at one such establishment where he was playing a show; a husband got angry because Johnson was flirting with his wife. So being someone who spent a lot of time around jook joints was not exactly being on the path of respectability, to the extent that blues researchers found it very hard to get elderly black people from the Delta to talk about their experiences with blues musicians because they were reluctant to talk about the years before they got respectable. So, for much of the people where the Delta blues came from, it was not the gospel, and so therefore it was the music of the devil.

Secondly, blues musicians sang about things that respectable people definitely wouldn't sing about. Sometimes this was explicitly about consorting with the devil - Robert Johnson had 'Me And The Devil Blues' (self explanatory) and 'Cross Road Blues' (widely seen as being about a Faustian bargain), and he wasn't even the blues musician with the surname Johnson who had the biggest reputation for consorting with the devil - at the time, that was a slightly older blues musician, Tommy Johnson. There were also a fair few blues songs that incorporated imagery from hoodoo/voodoo folk religion (such things perhaps being retained in black rural culture as folklore about the devil, often being based on West African religious roots rather than based on Western Christian beliefs about the devil of the era). Robert Johnson's devil songs do this, but it's also present in other songs that we might interpret differently today. Muddy Waters sang about getting his mojo working, and while we today interpret 'mojo' as being about a certain confidence in African American folk religion, mojo at the time was understood to refer to a sort of hoodoo amulet. But most often, the blues depicted a warts-and-all depiction of personal tragedy - the kind of life events that would leave you with the feeling of the blues often involved sin. Other lyrics in the blues could be outright statements of adultery, murder, revenge etc, and depictions of feelings like lust, avarice, arrogance - boasts about things that some consider the seven deadly sins - were pretty common in the music. Up Jumped The Devil, the recent and great biography of Robert Johnson by Conforth and Wardlow depicts Johnson as very much living quite a desperate, bitter itinerant life, one that was full of tragedy. Towards the end of his life, he seemed to many around him to have a death wish, acting in some spectacularly reckless ways (openly flirting with married women in full view of a large amount of people at the jook joints, etc).

And thirdly, the music itself seemed pretty unrespectable. The gospel music of the black churches of the South certainly had a lot of soul and rhythm to it compared to white gospel music of the era, and there was a perhaps surprising crossover between gospel musicians and blues musicians (many blues musicians as they grew older, got born again, and started making gospel music instead; Pops Staples of the gospel family group The Staple Singers when he was young hung around playing guitar with Son House and Robert Johnson and others). But it's more or less mostly in a Western musical tradition. But the acoustic blues itself more obviously had a number of features sonically that harked back to musical features common in the West African cultures where the ancestors of the blues musicians were enslaved - and which were not Christian cultures. So even the sound of the music had an uncomfortable hoodoo vibe to many respectable black listeners.