Hard SF : Aliens : Alien Religion
The belief in supernatural beings controlling the weather, availability of food and other essential aspects of life in the wild may flow from the need to think one has control over the world. From a survival point of view, the purpose of intelligence is to take advantage of patterns in the world. By using existing patterns, or (if possible) using tools to change the shape of the world, one can get more from the world. There are important factors, like weather, that pre-civilization beings don’t really have any influence over. But it would be nice to believe one could influence it. This may lead to a belief in entities that can control the weather, and a belief one can persuade or make a deal with those entities.
Since the function of intelligence is having an influence on the relationship between oneself and the world, intelligent beings may tend to have a psychological need to feel they can influence the world. Therefore, belief in the supernatural can give those with that need a way to think they can influence conditions which they can’t affect by natural means. This could result in most intelligent species having supernatural beliefs, at least prior to a certain level of scientific development.
In human society, the rise of science has resulted in many religious beliefs evolving to picture supernatural beings as taking a more passive role, at least in modern times. Prior to such a shift, one would expect beliefs in more active supernatural forces. The need to think one can influence the world through an intermediary supernatural being won’t be satisfied by a belief in supernatural beings one can only chat with or who simply watch people at a distance. Those supernatural beings would have to be active in Affecting weather, plagues, etc.
What kind of supernatural beings they would believe in would probably depend on what kinds of things it would be especially useful for a particular species to have control over and what things they had least material control of. Not all habitats will be equally impacted by bad weather or geological activity. The useful supernatural being may be conceived of differently depending on whether the most significant bad weather a group is concerned about is monsoons, tornadoes or droughts. Not all planets with intelligent life will necessarily have enough tilt to their axis to have seasons and changing lengths of days. What is considered a disaster would depend on a species. To herbivorous people, large migrating herds coming through may be a disaster because the herds eat up the people’s food. To a carnivorous people, it may be essential the migrating herds come through so they have meat.
So a "good" supernatural being could be one who brings herds or keeps them away. A supernatural being responsible for a drought could be a usually good one who is presently angry with you, a generally good one that is presently unable to help you or a bad one who wants to do you harm. Different human societies have envisioned each of these possibilities, so perhaps we can’t say much about what kinds alien societies would imagine. However, there may be kinds of alien biology or environments that would make an alien group more inclined to one or the other.
I’m not so sure about a belief in an afterlife/a supernatural immortal part of a person. It may be part of the same psychology - death of oneself or others one depends on being the ultimate lack of control over the world. One might envision that others one depended on still existed in some other form after their material death, and were therefore still able to help out. One might believe that one was unable to control the world enough to prevent one’s own material death, but believe one still had some control in some other non-material form. I’m not as confident how common this sort of belief would be among aliens.