The way I see it, there are two main philosophical / theological problems or questions in the movie, Matrix.
First, the movie plays with the idea of life in the "real world" and the life of the mind. Where is truth and reality rooted in? Is it rooted in the mind or is it rooted in the "real world?" For example, is pain something real or is it just in the mind? If we think about this more, there will be more complications. There is little resolution in the movie.
Second and more importantly, there is the idea of fate. If Neo was fated to be the one who can beat the machines, could he have gone in a different direction? Does fate take away freewill and human responsibility? Morpheus seemed so certain of prophecies. The Oracle seemed to leave things open. Neo was simply confused.