My personal oppinion about this question would be;
Religion has started with belief. Belief has started when Man has looked up to heavens (sky). Man has started to think, the Sun is the God. Then at night, maybe the Moon is the God. Then he realized there is so much to know and he must believe in somethings to hope. Human needs hope to survive.
Once Man knows hope, belief and knowledge are needed to survive he started to shape religions.
Religions are also required for the social, moral and ethical reasons therefore Man started to think how can he make people follow him? How can he make them belive him?
Books? Angels? Other Supreme Beings? etc. He came up with things which you cant see and must believe because you cant prove otherwise.
This is how i think religions have started. You can never know exactly when but its easy to guess how and why.