How would religions work in a world full of magic?

Recently I've been starting to worldbuild the main religions of my setting, and I've come across a big problem. Magic exists in my world and pretty much anyone can learn how to use it with enough education, practice, and skill. But in the real world, one of the main draws for religion, at least in ancient history, is the supernatural power which is claimed to be wielded/given by the Gods. Why would anyone seek out a religion in a world where they already can learn supernatural powers and practically perform miracles without needing to worship a deity? Why wonder what exists after death and try to come up with answers for it if you can literally contact the dead? I just can't think of why a group of people would develop the behavior of praying to a statue in the off chance of gaining protection or favor when they already have the ability to secure that protection themselves by secular means. I could really use advice as to how to make religion work in such a setting.