Most large religions have something in common: as literacy and population density increases (i.e.: more people independently recording their own perspective on an event), miracles become less spectacular and divine revelation stops. Today we have no more columns of fire, no more prophets... nothing.
Legends are passed from generation to generation, and the ones that were more spectacular and entertaining were more likely to be passed to the next generation. So at some moment in history you had a proliferation of spectacular stories and prophets and miracles and divine revelation. But once writing systems are developed and adopted by the general population this no longer happens. Why? Sorry to be the bearer of bad news, but the most likely reason is because people were making stuff up all along. That's why.
Secondly, the afterlife...
The reason people believe in an afterlife is mostly because the brain is designed to look for a path to survival at all times. e.g.: You think about going to work because you need income to go to the grocery store so you can buy food which you will eventually cook and then eat = survival. work -> income -> money -> food -> survival.
But eventually, the brain learns that all paths ultimately lead to death anyways. The brain, however, has defense mechanisms that prevent it from falling into psychological states that are bad for survival, and those defense mechanisms often involve illogical lines of thought. When this happens, your brain will try to get out of that psychological state by making some shit up, such as "look bro, you will die, but right after that, you will continue living". i.e.: the afterlife, souls, etc.
The afterlife, however, is just the beginning. Once you have an afterlife, now you can make rules that dictate what happens there. e.g.: "If you don't pay 10% of your income to me, your afterlife will suck". And once you standardize those rules now you have organized religion.