The primary religion of Japan is Shinto. Of all the Senshi, only Rei's religion is specifically stated: she is Shinto, even if she goes to a Catholic school. Shinto holds a belief in the life of the soul after death, but it has no moral teachings. It has no original iconography, that it, it does not depict its gods and goddesses. Shintoists believe that every natural thing has a "kami" (kaa-mee), which is a soul or spirit. The religion is based on nature and ancestor worship. When Buddhism became popular in Japan, Shinto worship developed icons and the sun goddess and her family became the cornerstone of worship.
Although it is never stated that any of the Senshi are Catholic (less than 2% of Japan is), Sailor Moon shares some symbols with the religion
I'm sure everyone must have at least heard about some pictures depicting crucified Senshi. There are three instances I can think of: the Inners hung on crystal crosses in Rubeus' ship (Black Moon arc of R), Sailor Moon held up in the crucified position by Fiore (R movie), and Hotaru hung on a cross in Chibi-Usa's nightmare (S arc).
In a general sense, crucifixion has nothing to do with religion. It was employed during the reign of Rome, as a means to execute criminals. It was a grisly way to die: if blood loss and exhaustion did not kill the person, his/her own body weight would suffocate them as they hung. In Sailor Moon, crucifixion denotes pure torture. Those on the crosses are either screaming or passed out. Crucifixion in Sailor Moon does not mock any religious belief, nor is it meant to equate Usagi to Christ. Rather, it conveys torture in the worst degree.
In the S arc, Usagi is referred to as the Messiah who will save the world. The word Messiah is used in a literal context: it means chosen one. Once again, there is no equation to Christ. In addition, Sailor Saturn is not the anti-Christ, and she is not a manifestation of Satan.
The Holy Grail in Catholicism is a cup supposedly belonging to Christ. Whoever drinks from it will be granted eternal life. This legend comes from those of King Arthur and his knights (Sir Gallahad's quest was to find the Grail). The Holy Grail of Sailor Moon allows Usagi to become Super Sailor Moon. In the manga, Mamoru explains to the girls what a holy grail or chalice is. Apparently, Naoko's mind was on Sir Gallahad's Grail, but look closely at Sailor Moon's: it is a bejeweled cup, not a plain wooden one; it grants a higher level of power rather than immortality; it only works for Double Moon, not for anybody else. While the Grails may have striking similarities, they also have fundamental differences.
Right away, let's set something straight: Usagi is not supposed to be Christ. Rather, she is a Christ-like figure for her world. She is the Messiah that saves them from death at the hands of Sailor Saturn. She sacrifices her own life to dive into the Caldron, thereby restoring everyone else. During her reign, peace comes to the Earth. But never one does she claim divinity. We should assume (from Mamoru's last lines) that Usagi will eventually die, passing in her role to Chibi-Usa. However, Usagi is the Savior of her world and any attempt to debunk that out of respect for religion does this story a great injustice.