system
Given the following post, respond as if you're commenting on Reddit:
human
[Warhammer 40k] What do citizens of the Imperium think happens to their souls after death? What does the Imperium teach?
gpt
The Adeptus Ministorum, also known as the Ecclesiarchy, maintains the Imperial Cult, which is what all true citizens of the Imperium of Man believe: that the God-Emperor of Man is the one true God of mankind; to beware the mutant, purge the heretic, and abhor the xenos; and so on.

However, because of the immense diversity of Imperial worlds, there are bound to be minor variations in the formula. Denizens of a Feudal World, for example, might believe in the "Great Sky Eagle," or something similar. The missionaries of the Ecclesiarchy have some leeway in determining what's heretical and what's not when they incorporate planets into the Imperium, but this process is not infallible: more than once has a missionary believed a world to be pure of corruption, only to find out later that the "Immortal Warrior-King" that the locals praised was actually Khorne.  

Because there is so much diversity in the religion of the people, there's bound to be a great deal of diversity in their beliefs in the afterlife, as well. 

The average citizen of the Imperium probably believes that after they die, their soul will be protected by the Emperor against the gnawing terrors of the Warp, and they will go to sit at his side for eternity.

But this belief is not universal. Some believe that their souls will go nowhere, and when the God-Emperor awakes from his slumber atop the Golden Throne, he will purge the world of evil, judge the souls of man, and damn those found to be wanting in his eyes. Others believe that they will be resurrected along with the God-Emperor to fight against the forces of the Archenemy in the final battle of mankind. Apocalyptic prophesies are very common, but it depends on the planet. Because there are so many different factions of the Ecclesiarchy, there's no real "right" answer.

That won't stop you from being branded a heretic by someone who disagrees with you, though, and the state religion of the Imperium is hardly the best place to turn when you're looking for truths about the universe. Their beliefs about the afterlife are just that: beliefs. Who's to say they're correct?