They thought they were gods!

Which is to say, they thought they were celestial beings/personalities of some kind. (I'm limiting myself to post-Hellenistic thought and especially Christianity--I can't speak to pre-Exilic Israel). Essentially, when we say that ancient Jews and Christians were "monotheists," we're retrojecting a modern idea onto them. People in the ancient Mediterranean were far more animist than people in medieval Europe and the modern West. The whole world was full of personalities and beings, not all of which were visible/human. In the late Hellenistic and early Roman periods, this was combined with a lot of philosophy and popular thought influenced by philosophy, especially Platonic and neo-Platonic philosophy, so you get various versions of the geocentric universe, where the planets (which broadly include the sun and the moon) are the powers that rule their respective celestial spheres, and beyond the "fixed stars" there is capital-G God (or Mind or Reason or the One, or various other names depending on who you're reading). There also wasn't anything like "orthodoxy." If you want to get an idea of some of the variety of theology from this period, try Cicero's On the Nature of the Gods--it's a debate between characters with different views on what the gods are made of and how they interact with the world. Some people thought that there were gods on the earth and in the heavens, some people thought that there were only gods in the heavens, some thought that all of the celestial bodies were aspects of the One, etc.

This, by the way, is why astrology is important in the ancient world. If the planets and stars are actual gods who have actual influence on stuff going on down on earth, dang right you want to know what that influence is. For what it's worth, there are examples of zodiac mosaics in Roman-period synagogues, suggesting that at least some Jews were on board with the idea.

Jews were Hellenized/Romanized, and most Christians were ethnically Greek or Roman, or from places that were not Jewish and had been Hellenized for centuries, like Syria and central Turkey. They didn't have a wildly different natural philosophy than other people in the Roman empire. The main distinction, besides Judean ethnic practices, was "monotheism," but what that really means in practice was that Jews and Christians fell on the same spectra of polytheistic and philosophical thought as everyone else, only they identified the capital-G God with the national god of Israel and (ideally, according to their leaders and the people whose writings survived) didn't participate in any other cultic life in the areas where they lived. Hebrews and Judeans had been what we call "henotheistic," where they acknowledge the existence of other gods but only worship the one, for centuries already, and Christians adopted that and added Christ and later the Holy Spirit.

Paul, of all people, is helpful for this. 1 Corinthians 8:5 says, "there are indeed many gods and many lords." This is setting him up for a discussion about whether people should eat meat that's been sacrificed at Corinthian temples. Essentially, if you drill down into what he's arguing in this chapter, it isn't that the gods of the temples don't exist (some people in Corinth are saying that they don't, and Paul quotes them, but never commits to it), it's that they're demons and also they don't pose any harm to people who are faithful in Christ. But what's a demon? In classical Greek the word "daimon" is a neutral term that basically just means "deity" or something. Usually it refers to minor, nameless deities, but Zeus definitely gets called a daimon in the literature sometimes. By the Roman period we're starting to see it used more negatively, for spirits that bring misfortune or disease. For Paul and at least some of the Corinthians that he's writing to, a demon seems to be some kind of spirit that either means harm to people in Christ or at least renders them impure in some way. We haven't reached the age of Milton yet, let alone John Constantine. They aren't twisted, fundamentally evil monstrosities that will drag you to Hell and torture you for eternity. They're just spirits that aren't good for you.

(Further academic reading, if you have access: Paula Fredriksen's article "Mandatory Retirement: Ideas in the Study of Christian Origins Whose Time Has Come to Go" in the journal Studies in Religion/Sciences Religieuses.)

Another helpful New Testament passage is Ephesians 3:10: "so that through the church the wisdom of God in its rich variety might now be made known to the rulers and authorities in the heavenly places" (NRSV). The "rulers and authorities in the heavenly places" are, in historical context, the rulers of the planetary spheres--the planets, the sun, and the moon. This passage is hinting at the idea that the planetary rulers are unaware of the One God beyond the spheres, and will be made aware of and subjugated to him. Whether or not that means they're "evil" really depends on who you're reading, but if you want to see this idea played out to its glorious extremes, check out some of the Nag Hammadi literature. The Apocryphon of John and the Hypostasis of the Archons are particularly detailed.

There wasn't a single Christian or Jewish belief about these things--like I said, they fell on the same spectrum as everyone else, with specific details or innovations that we can look back on and identify as "Jewish" or "Christian." We also have quite a few Christian and Jewish magical texts that are very comfortable working with what we would consider "non-Christian/non-Jewish" gods and spirits. There's a book by Marv Meyer and Richard Smith called Ancient Christian Magic that works through some of those texts.