Hey there! Well, we have answered this question before, but we have no problem answering it again for ya.
Davy: As far as we know, Davy was raised in the Church of England (so that’s…Anglican, perhaps?). He has mentioned how he and his sisters were very involved with the church and choir and such growing up, so we believe that’s his religious background. As to whether he continued with that, we do not know, though his funeral was held in a Catholic church.
Micky: Also raised Catholic, though Micky famously documents in his autobiography how he set every Bible in his house on fire when his father died. Micky seems now to be more or less agnostic, or at least has a philosophical bent on religion that he just touches on in his book (“In my humble opinion, God did not create the universe; the universe is Godding.”)
Peter: From what we know, Peter was not raised with any specific religious background, although his mother did give him a book on Zen Buddhism when he was a teenager. He has always had the most Eastern philosophical leanings of all the Monkees, and to this day maintains that Buddhism is the most “sensible” (to paraphrase) of the options out there.
Mike: Mike was and is a Christian Scientist. This background comes into play almost infamously as part of the story of Phyllis’ accident with Mike’s Lamborghini in the ’60s. Phyllis was spirited to a hospital for her injuries, only to have Mike storm into the hospital not long after and remove her from there tout de suite (as many Christian Scientists do not believe in seeking medical attention for physical ailments). Mike is still a Christian Scientist today, although does not seem to practice it as heavily as he used to.