Train is not usually considered a religious band. Their hit single "Calling All Angels" is usually seen as being at least partially religious in nature. The lyric:

'Cause when I look to the sky something tells me you're here with me

And you make everything alright

And when I feel like I'm lost something tells me you're here with me

And I can always find my way when you are here

from the song "When I Look to the Sky" can be interpreted as speaking to God, but the song was written in reference to soldiers leaving for Iraq:

MONAHAN: Well, CNN actually played a big role in our newest single. It's called "When I Look to the Sky." And you guys were filming people departing to go to Iraq.

PHILLIPS: Really?

MONAHAN: And, as I watched, I thought, really, the only thing we have in common, here are these men and women traveling, and some of them are staying and watching their loved ones go away. The same thing's happening all over the world. And the one thing we have in common is, we look up at the sky and we hope that there's some kind of connection. And so, when I looked to the sky, it came from that.

PHILLIPS: That sounds kind of spiritual. Are you a spiritual guy?

MONAHAN: Probably. I think we all are. We all have faith in something. And my faith is in people.

(CNN interview with Pat Monahan, January 22, 2004)

I can't say for certain what their collective views of God and religion are, but they are often (mis)identified as a Christian Rock band, and their lyrics refer to faith, love, and hope, which are often seen as staples of religious music. They probably consider themselves straight Pop/Rock, with no specific labels other than that.