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Archeologists have found evidence of religious rituals in Neanderthal burial sites 300,000 years ago. So this was likely a behavior we shared with our common ancestor, Homo Rhodensiensis at least 350K years ago when they diverged.
Unsurprisingly, the first literate societies, Sumer and Egypt, used their literacy to record some of their religious practices.
The oldest written work of a major world religion that is still in widespread use today is probably the Rigveda (sacred to the Hindus), which we now believe was written sometime between 1700 and 1100 BC.
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In terms of organised religion on a state level I believe the ancient Mesopotanians where the first to truly structure and organise religion. Commission the building of temples paying priest out of state coffers etc.
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Hinduism is considered to be the oldest religion in terms of those religions which are still recognized and practiced to this day but it is far from the oldest religion ever practiced.
The first religious practices that we know of is referred to as Paleolithic Religion. Though not written, evidence uncovered by archeologists suggests that Neanderthals practiced religious rituals more than 300,000 years ago (essentially as far back in time as we have discovered).
Burial rituals suggest that Neanderthals had a concern for the dead which transcended life. Without spiritual beliefs such practice would not have existed.
It is disputed whether burial rituals signify religious beliefs as opposed to simply hygiene. If you were to assume that it was merely the act of hygiene then even still their are records in the form of cave paintings and figures showing a female fertility goddess known as Venus.
Among the first human images discovered are the "Venus figures," nude female figures having exaggerated sexual parts that date back to the Cro-Magnons of the Upper Paleolithic period between 35,000 and 10,000 BC.
In southern France is the Venus of Laussel which is carved in basrelief in a rock shelter. This appears once to have been a hunting shrine which dates to around 19,000 BC. In this carving the woman is painted red, perhaps to suggest blood, and holds a bison horn in one hand.
Also in Cro-Magnon cave paintings women are depicted giving birth. "A naked Goddess appears to have been the patroness of the hunt to mammoth hunters in the Pyrenees and was also protectress of the hearth and lady of the wild things."
Other female figurines were discovered dating back to the proto-Neolithic period of ca, 9000 - 7000 BC, the Middle Neolithic period of ca. 6000 - 5000 BC, and the Higher Neolithic period of ca. 4500 - 3500 BC. Some of these figurines were decorated as if they had been objects of worship. In black Africa were discovered cave images of the Horned Goddess (later Isis, ca. 7000 - 6000 BC). The Black Goddess images appeared to represent a bisexual, self-fertilizing woman.
During the predynastic Egyptian period, prior to 3110 BC, the Goddess was known as Ta-Urt (Great One) and was portrayed as a pregnant hippopotamus stand on her hind legs.
300,000 years ago – first (disputed) evidence of intentional burial of the dead. 130,000 years ago – Earliest undisputed evidence for intentional burial. Neanderthal. 100,000 years ago – The oldest known ritual burial of modern humans 100,000 to 50,000 years ago – Increased use of red ochre at several Middle Stone Age sites. Red Ochre is thought to have played an important role in ritual. 50,000 years ago – Humans have evolved the traits associated with modern human behavior.... such as modern language, abstract thought, symbolism and religion.[23] 42,000 years ago – Ritual burial of a man at Lake Mungo in Australia. The body is sprinkled with copious amounts of red ochre - seen as evidence that the Australians had brought along with them religious rituals from Africa. 40,000 years ago – Upper Paleolithic begins in Europe... elaborate burials of the dead, Venus figurines and cave art. Venus figurines are thought to represent fertility goddesses. The cave paintings at Chauvet and Lascaux are believed to represent religious thought. 30,000 years ago – Earliest known burial of a shaman. 11,000 years ago – The Neolithic Revolution begins.