Food for thought from Larry Hurtado:
In the Roman era, “religion” (our term, not theirs) was typically a set of cultic performances, mainly sacrifice/gifts to gods. People liked the gods to do things for them, and the gods liked gifts. So, it was a convenient exchange. You could offer a god a gift to ask for a boon, or in thanks for one. There were also regular sacrificial rites, at periodic times, essentially to keep the god in a positive relationship with you, your city, nation, etc.
This produced physical evidence of “religion.” There were sacred places, and shrines or temples built. There were altars, and images of the gods. There were “ex voto” objects purchased and given to the temple/god in thanks for answered prayers. Substantial gifts would often also involve an inscription (just so the god and other people didn’t overlook who gave the gift). These “dedicatory” inscriptions form the main part of the data that Collar studies on the cult of Jupiter Dolichenus, for example.
But early Christianity (in the first three centuries CE) didn’t have shrines or temples, or altars, or cult-images, and no sacrifice was involved. So, no dedicatory inscriptions or ex voto objects, or whatever. (The earliest church structure thus far identified firmly is the famous Dura Europos one dated in the 3rd century CE. But it didn’t include an altar or image or such.)
Instead, early Christianity was heavily the propagation of teaching about the Christian God’s purposes and will for human life, which included the formation of responsive groups (“ekklesias”) called to exhibit the way of life demanded by the God. There were, to be sure, cultic/worship actions and rites, e.g., baptism invoking Jesus’ name as the entrance rite, and the sacred shared meal. But early Christianity didn’t generate the kinds of physical objects generated/used by other religious groups of the time.
Indeed, some scholars (e.g., Edwin Judge) even urge that early Christianity can’t be called a “religion” in the terms applicable in the Roman world, and should be classified as a peculiar “philosophy” instead. For my part, I still prefer to classify early Christianity as a peculiar kind of Roman-era “religion,” although I grant that it exhibits a number of features that are more commonly found among some philosophical groups of that time.