Realms of spirits
Let's say we observe a repeating phenomenon that looks well-organized, produces predictable consequences, like it happens on purpose, but there is nobody there.
Patterns in our memory reflect the world outside. They tell us that purpose doesn't come out of nowhere. What's going on? Is it a problem with our knowledge, or do we miss something?
We can admit that things just happen on their own sometimes, or we can trust the patterns and assume that there is indeed an intelligent being behind everything. It just hides from us.
Spirits. Ghosts. Gods. We can use different words, but all these entities are placeholders in our formulas. We don't know much about their designs, except for the fact that every one of them has a real physical effect that it supposedly creates.
Thunder and creepy noises in your attic are for amateurs. The real thrill is in mind games. Witch can curse you. Demon can possess you. Succubus can seduce you. Feel free to choose your poison.
By the way, these guys have personalities, right? Once you get that thought in your head, you start to see pieces of their characters everywhere. Their reasons may still be obscure, but we learn more and more... Should we interact? We sure can try.
Through trial and error, we can guess a way to alter the outcomes of their actions for our benefit. Make a ritual. It's not a proper science yet, but we can get some results.
Many ancient rituals actually work rather well, even by today's standards. Our ancestors relied on them for millennia. A good collection of recipes on how to please your gods is like a foundation for future technological advantage.
In some cases, we collect data and eventually realize that some particular phenomenon was technically caused by a non-intelligent structure of matter. The spirit turns out to be dumb. Such a disappointment! We take full control over the situation and eventually forget its name. Unless it became a part of a tradition, of course, but that's a different story.
It's quite interesting that we do find intelligent beings from time to time. Some unholy creatures in our local folklore are literally insects, snakes, snails, etc. You may not see them directly, but you just feel that they're there, in your house.
Can we find new species by studying primitive religions from different cultures? It's possible. It happened before. It may happen again. Some of those species probably treat the consequences of our actions as a spiritual presence and may even be looking for us right now.