The Romans were pretty well established BC.  Mind, they did have gods, if not a unified religion as such.

Did the early Chinese have religion?  I'm not sure.

I think the difference between past great civilisations and today is gods were specific to a region or race of people as there was much less travel.  So, the ancient people of Australia were not aware of, far less bothered by the contradiction of, gods worshipped by, say, the ancient Greeks.  Where civilisations did extend their influence, eg the Romans coming to Britain, they didn't impose their gods on the locals.  It is only in recent (comparatively) history that people believing in one religion have tried to impose this on others.  The reason for this has more to do with increased population making the fight for resources greater than with any spiritual end.