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Chronology is absolutely essential. As we have seen, the word 'Celts' (Κελτοί / Celtae / Galli) describes people in pre-Roman times and largely continues to describe the inhabitants of Gaul, Spain, etc. in prior to the Roman conquest.
Therefore, if we want to understand Celtic religions, any study must start with the pre-Roman Iron Age.
It is obvious why: During the Roman period, the nature of our evidence changes significantly. The Romans did NOT impose their own religious understandings on the conquered people since they are well aware that every city, every people had their own pantheon, their own myths, their own religious practises. But the increasing interconnectivity and integration across the Mediterranean world and across the Roman empire was changing people's religious understandings to some extent: imagine the thousands of Gauls that Julius Caesar had recruited for his armies in the 50s BCE, travelling under his leadership across the Mediterranean as far east as Alexandria, this changed people's perceptions and when they returned to their home countries, they saw their native cults and gods in a different light, challenging existing social and cultural understandings. They adopted new media, they re-interpreteted their own deities in a new form...
For example, deities were acquiring more and more human form. And local people choose new media to communicate with the gods is changing; Iron Age (La Tene) art largely disappears: instead of an abstract art, the emerging Romano-Celtic art is much more realistic.
Let us take the example of the famous Celtic goddess Epona .
Epona is a typical name for a Celtic goddess (from epos, 'horse', and the typical ending to make it into a divine name). In Roman times, she is present across Europe, even in Rome! A success stoy for this Celtic goddess. But what we have to ask is: How much has she changed from pre-Roman, 'Celtic' times? And can we really recognise her among all the finds from the Iron Age? Yes, the horse had a particular role in Iron Age societies and received a different treatment from other sacrificial animals, and yes, we find depictions of horses (incl. androcephallic horses) on Iron Age coins... But how much does it tell us about the original 'Celtic' Epona?
The comparison between Epona and the myth of Rhiannon, writing a horse, in the Welsh Mabinogi is intriguing: here, we can see a powerful goddess of fertility (similar to the Greek Demeter). Does this reflect Epona's original meaning as a fertility goddess? But we need to be careful and remember chronology: the concept of a pre-Roman horse goddess has been transformed in Roman times, turning into the Epona we know, and then later, medieval monks pillaged the surviving myths when they were compiling the Mabinogi.
Celtic Religion(s) Timeline
A simplified Celtic Religions Timeline! We need to understand the extent of persistence, innovation and transformation between the pre-Roman Iron Age and the Roman period. And then we need to consider the further loss of information in an increasing Christian environment in the next 600-800 years when traditional religions had been demoted to the status of magic and superstition!