Celtic mythology is the mythology of Celtic polytheism, apparently the religion of the Iron Age Celts.Like other Iron Age Europeans, the early Celts maintained a polytheistic mythology and religious structure.eltic mythology is found in a number of distinct, if related, subgroups, largely corresponding to the branches of the Celtic languages: 1  Ancient Celtic religion (known primarily through archaeological sources rather than through written mythology; cf. 2  Ancient Gaulish and British deities).