Religion arises naturally. The Old Testament gives a striking example of this:
And Adam knew Eve his wife; who conceived and brought forth Cain, saying: I have gotten a man through God. 2 And again she brought forth his brother Abel. And Abel was a shepherd, and Cain a husbandman. 3 And it came to pass after many days, that Cain offered, of the fruits of the earth, gifts to the Lord. 4Abel also offered of the firstlings of his flock, and of their fat: and the Lord had respect to Abel, and to his offerings.
Note that people simply start sacrificing. God institutes no sacrificial rites, nor do they learn any from their parents, nor do they reason to the need to sacrifice. The desire to sacrifice simply arises spontaneously in both Cain and Abel. Like all natural desires, religious desire admits of different expressions: some might be perverse and others legitimate; others might be more or less perfect; others might be simply different from each other.
Grace builds upon this religious structure that is naturally given in us. It does not create it. The study of religion is primarily a study belonging to anthropology or some other division of natural science. This does not change the essentially supernatural character of the Christian faith, but it does require that we locate it entirely within a natural phenomenon. So long as we study Christianity as a religion, there is no need to appeal to any supernatural principle, just as if a physiologist were to study Jesus Christ he would have no need to appeal to any supernatural principles.
The Christian faith involves the same scandal as the incarnation. Just as Christ was fully human and no scientific examination would ever prove otherwise; so too Christianity is fully natural and no religious or scientific analysis will ever prove otherwise. The same is true a fortiori of any other religious founder.
To call religion natural in no way debunks it. This is Kant’s error- which even Kant had a hard time making himself believe. It is very foolish to think that calling religion ”natural” implies it is false, as some have done: e.g. people thought that discovering the “God gene” or the psychological basis of religion would somehow debunk religion. Of course there is some physiological and psychological component of religious desire- there is obviously a physiological and psychological component to human beings! God genes or exalted fathers or theories of hidden agency might fail as hypotheses, but there is certainly something like them. The object of these desires is nevertheless a real being, and none of the sciences to which these theories belong is capable of disputing this (or even confirming it). Such a confirmation belongs to another science (metaphysics), which is itself natural.
Given the natural source of all religions as religions, all religions have an interior and esoteric unity. Religions are all one just as man is one nature. The God that they worship is the true God, but only insofar as man can grasp him by his natural powers. At the height of this worship is metaphysical speculation and the interior devotion to the God revealed by it, for in this activity man offers what is best in him to the divine. Metaphysical speculation is therefore essentially religious and all religion, as natural, is ultimately penetrated by a metaphysical analysis that sees the interior unity in all religion and can ground it in human nature.
But all this leaves the supernatural element of Christianity completely untouched. There is a sense in which we can understand this supernatural element in a natural way: for example, for man by nature seeks the true God, and God himself is certainly supernatural. But the faith is not supernatural in this way.