Religion didn't always exist. In fact, I would guess that it didn't for the majority of human history, although it's ultimately speculation on both of our parts.
Religion (by way of magical thinking) is one of the things that defines humanity. We have evidence of it even in Neanderthal sites, given that we find them in caves, with their feet pointed east more often than not, with flower pollen on them in places in caves where we don't otherwise find flower pollen.
Well, I guess it depends on how broadly you want to define religion. A handful of traditional and possibly superstitious behaviors and cave paintings of the big, scary blob of fire in the sky could qualify, but I think we were talking about a much more complex set of beliefs and value systems involving omnipotent, omniscient being(s).
Were the seeds of religion sown in primitive peoples observations of and attempts to reckon with all the scary shit they would witness in the natural world? Absolutely. But any "definitive" statements on pre-historical belief systems are probably anthropological hearsay, possibly weighted by our current knowledge of and feelings towards religion. What was going on back then could have been just slightly more complex than a dog hiding under the bed when there's thunder.
And keep in mind, we're talking about a 200,000 year run up to recorded history. However, I'm sure there was a more complex oral tradition of storytelling and mythmaking that was starting to develop before the Sumerians took off.
