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A detailed answer to this question depends on which colonies you are referring to, and when. That said, we can make a few generalizations. The New England colonies were dominated by Puritans, later known as Congregationalists. The church was absolutely central to society there. The Church of England was established in Virginia, though that colony (and the Carolinas) never had the sense of religious mission that the New England colonies did, at least in the beginning. Pennsylvania was established by William Penn, a Quaker, and as such, religious tolerance was fundamental to its founding. Quakers dominated the government and society of the colony until the French and Indian War. The Church of England was also established in New York and the other Middle Colonies, though there were also many Quakers, Dutch Reformed, and other faiths in the region. Maryland was formed as a refuge for Catholics. Beyond these established faiths, individual belief varied, even in New England. The Great Awakening, which began in the 1730s, saw the emergence of a number of evangelical faiths throughout the colonies, especially from Pennsylvania southwards. This region was also permanently changed by the influx of Scots Presbyterians at roughly the same time, and indeed Presbyterians were often credited with sparking the Awakening in New England. Many elites practiced a rational, demystified religion known vaguely as Deism, though most influential people maintained church membership. There were also, in many colonies, religious sects that lived in isolated communities, such as the Moravians of North Carolina and the Dunkers, Mennonites, and Amish of Pennsylvania. Beyond this, several cities had small Jewish populations, and the colonies had a few Catholics. Enslaved populations practiced several different religions, many of which represented a syncretic blend of African beliefs and Christianity. A small percentage of slaves, all new arrivals, practiced Islam. Of course, Native American peoples in the colonies practiced a variety of indigenous religions, as well as Christianity.
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