There is a lot of D&D material for historical/mythic-fantasy. TSR did historical sourcebooks for 2e; Green Ronin did some excellent sourcebook for historical time periods; many Dragon magazine articles explored themes of medieval history and religion. I remember one about Satan in a very early issue of The Dragon.
My current campaign is set in 1255 AD in Livonia, in the middle of a crusade between Catholics v Orthodox v pagans. So the game is all about not only religious war, but also Germans vs Russians vs Balts vs Swedes, and popes vs anti-popes, and emperors vs usurpers, and every nobleman vs their cousin vs the peasants vs outlaws. Oh yeah, and monsters and dungeons and stuff, but they all are tied more closely to the stories. Green humanoids are based on myth whenever possible, and bad people are more prominent. Orcs are the orcs from Beowulf—brutish men possessed by evil spirits. Goblins are the goblins from Labyrinth, Hobgoblins are the slaves of the fairy kings, Kobolds are greedy dwarflike misers in the hills, and the Bugbear is a creature in the woods that can slip in and out of shadows, that can smell fear, and will steal children. There are of course a lot more Baltic, Russian, and German monsters than English.
My game uses OD&D as a chassis, and there are not a bunch of spell-slinging wizards or clerics hanging around. Sure the pope has access to lots of spellbooks and powerful relics, but he's more a noble with a theocratic kingdom than a classic D&D cleric. Using a rules-light system allows for a lot of flexibility in how much magic influences the world. I have just three alignments (Law/Chaos/Neutral), and those who worship a monotheistic deity are Lawful, so that's the Catholics, Orthodox, Muslims, Jews, any Manichaeans who are still hanging around, and a handful of secret Atenist cults. Most Christian heretics are lawful as well, including proto-protestants like the Waldensians, though Cathars/Bogomils are unique in that they are Neutral. Most magic, all elf/fairy cults, and the pagan religions that are based on them are Chaotic. Initiation into a cult/religion gives you an alignment—baptism/circumcision/khitan/wiccaning/pact/summon familiar—and regular ritual keeps your alignment stable—eucharist/shabbat/salat/esbat/etc.
Magic users can learn lawful spells from scripture, enochian magic from esoteric writings, natural magic from philosophical and alchemical treatises, fairy magic from elfish runes, sorcery from mystical grimoires, and goetia from demonic inscriptions. Any spell in the game is learnable by a magic-user, but the character's alignment will allow or disallow use of the spell. Clerics are warrior-priests who take monastic vows to gain their powers without needing books (paladins would fit this same role if they were in my game). It's possible to make a pact with a fairy, demon, angel, or pagan god, but that isn't a class feature as much as meeting one and convincing it to give you powers in exchange for favors.
So the game basically operates on the idea that what medieval people thought, that's what's more or less true. And I'm fine with some ambiguity/contradiction (my Syrian magic-user, Swedish Knight Templar, Dwarf, and elf-stolen barbarians all have different religious beliefs—are they right or not?). So yes, Saint Christopher was a giant jackel-headed saint, Saint George really did fight a dragon, spiders hid Saint Felix from Roman soldiers, etc. The Four Elements influence everything from alchemy to personality and health (if demons aren't messing with them), and relics, icons, and symbols are very important. Elfs are fairies and are feared/worshipped, so they can't be PC classes. But half-elves exist as changelings and fey-stolen humans. Halflings are children who can never grow up because they were stolen by elves. Dwarfs are dwarfs, and very rare and said to possess magical powers and the ability to create any thing.
It's working ok so far. It required a fair amount of research since I didn't know that much about which Russian Principalities survived the Golden Horde mostly intact, or when different regions of Latvia fell to the crusader armies, or how much insurgency was common at that time. I had to create a couple subsystem (and they're a work-in-progress) for the social estates, humourism, piety/cabalism, and supernatural pacts.
So tl;dr: historical/mythic fantasy can be a lot of fun. I wanted to make medieval religion make sense by aligning it with the alignment system. I also wanted to make sure the monsters were mythic/folkloric and there weren't nation-states of alien creatures (unless they were hidden; the Kingdom of Heaven is full of angels, the Fairies hold court in the fairy realm, there are goblins lurking in the Woods, etc). Don't be afraid to overturn apple carts. If someone wants to debate if Saint Cristopher really was Cynocephalic or not, that can be handled after the session. Also, know your audience. I'm a religion nerd, so a lot of my religion ideas aren't being used by my players who equate religion to eating broccoli.