Also check with a library, genealogical, or historical society where your ancestor resided for advice on where to find historical records for the religious denomination of interest.
Church and religious records for baptisms and marriages are often substituted for civil vital records before civil vital records were uniformly collected.  The best way to find religious records is to search in the county where the ancestor lived. Use a search engine like Google or WorldCat and use a search term with a county and state name, plus a religious denomination, as in “Methodist church and Franklin County, NY”.  Also check with a library, genealogical, or historical society where your ancestor resided for advice on where to find historical records for the religious denomination of interest.