The nearest religious buildings of this period to have been found so far are the temples at Farley Heath (south of Shere) and Wanborough (by the Hogs Back).  Both these appear to have been originally Celtic, rebuilt in the Roman style but remaining dedicated to pagan deities ⁵.  

Although the Romans did adopt Christianity it appears to have come too late to make any impact on our area.  The first evidence of Christianity in Britain was the martyrdom of St Alban sometime at the end of the 3rd/beginning of the 4th century.  And in 314, it is recorded that the bishops of London and York attended the council of Arles.  In Rome, Christianity was not officially recognised until c.313 - by Constantine.  Yet by this date, the development of Roman Towns and villas in Britain was already coming to an end.  Further, it appears that Christianity in Britain was largely the preserve of the urban elite and wealthy villa-dwellers.  Hence it was not surprising that a basilica-style building embracing all the essential elements of a later Christian church was found when excavating our nearest Roman city at Silchester ².  

There is evidence that towards the very end of the Roman era, Christians did live in our area.  Click on 'jet ring' at the top of the left margin to read a description of the finding of a Roman Christian ring at Bagshot.

It is possible that there was a Christian site at Bisley.   John Blair states:

"The Pyrford charter-bounds of 956 pass around the irregular west end of modern Horsell parish.  Unfortunately they cannot be plotted exactly, but at some point between per leage (Parley Farm) and mint byrge (Mimbridge) was an inclosure or meadow called eccles hamme.  This must have lain near, perhaps almost adjoining, the medieval church of Bisley some fifty yards from the boundary.  Bisley is an enclave on the edge of the great Chertsey Abbey estate; the nondescript little church need be no older than the 12th century, though it probably appears in the Domesday Book as a chapel of Chobham.   Although the area is not one of intensive Roman settlement, this seems a significant association  between an eccles name (a derivative of the late Latin eclesia - meaning 'church') and a standing church: it is conceivable that some cult had survived around the church site, or around the nearby holy well of St John the Baptist where parishioners were still being baptised within recorded memory." ⁷ 

Certainly the location of Bisley Church is interesting since it is in a lonely spot out of the village.  So maybe the location was sacred.  I have glimpsed in the rubble walls of the church some red tile or brick that conceivably may have come from an earlier nearby Roman building - this needs further investigation - see photo.  As for the spring near the church, we know that the Celts venerated springs and these sites were adopted by the Romans - as excavations have shown at Bath.  However, like the temples, they tended to be dedicated to pagan deities.

It appears that when the ruling class withdrew back to Rome, only relicts of Christianity remained.  For the mass of the local peasantry we can assume that Celtic paganism survived the 'visit' of the Romans.

References:-

2    A History of the English Parish, N.J.G. Pounds, 2000 p7

5    Archaeology in Surrey to 1541,  Ed J & D Bird. p187

7    Early Medieval Surrey, John Blair, 1991, p111