There are, to the best of my memory, no instances of wizard-raised wizards mentioning religion at all in the books. As you stated, many of them do celebrate Christmas, and one might think that if there was some form of Jewish, Pagan, Muslim, or other Muggle faith with a winter holiday prevalent in the wizarding world, Harry would have heard about it. On the other hand, the only other people Harry interacts with a lot are Hermione - Muggle-raised - and Ron - raised by a nontraditional and Muggle-loving family. There are many fanfics and essays which explain Harry's ignorance, and therefore our ignorance, of wizarding religious traditions as being a side effect of him belonging to the most Muggle-associated house and having only Muggle-associated friends.
That being said, in Harry Potter and the Deathy Hallows, Harry finds two tombstones with Bible (New Testament) quotes on them. His parents' reads "The last enemy that shall be destroyed is death" (1 Corinthians 15:26) while Kendra and Ariana Dumbledore's reads "Where your treasure is, there will your heart be also" (Matthew 6:21). Both Lily Potter and Kendra Dumbledore were Muggle-born, however, while it is possible the verses were placed on their gravestones for the mothers alone, their funerals were held by wizards, in the wizarding world, and I believe that if the Bible was not part of the culture of the wizarding world at large, the phrases may have stirred up trouble for the Dumbledores, and lessened the heroism of the Potters (if prejudice exists in the wizarding world - religious prejudice, that is).
Rowling's only direct quote on the religion of wizards was to say once, in 2007, that "Hogwarts is a multifaith school," never specifying what those faiths may or may not be. The presence of the New Testament quotes on wizarding tombstones in a church graveyard in a famous wizarding village, however, signifies to me that Christianity at least is a religion practiced by at least some wizards. Probably not all of them, but, then again, all Muggles don't practice Christianity either. People bring religions with them, and Muggle-born wizards have been around since before Hogwarts was founded. If there aren't any wizards who practice the faiths we are familiar with, well...I'd certainly be surprised.