Obviously coming way too late to this series and these discussions, but as I just finished binge-watching the show and reading some discussion threads, I needed to write down my thoughts about the Athelstan faith-arc. Sorry for the terribly long post:
In S1 - he is still fully Christian first horrified / then curious - cautiously exploring. We see a switch around the episode "Sacrifice" where we see him trying to fit in, happy about Ragnar taking him with him (even though he doesn't realize that he's supposed to be the sacrificial lamb). But there, he still wears his cross, now hidden on his wrist and he denies being a Christian when asked. I think when he realises that not only is he not acceptable as a sacrifice (about which he is relieved) someone else has to be sacrificed in his place (much like Jesus was) - and Leif going obviously so willingly and with such a pure heart must touch a very raw nerve.
Then I think his final push towards the Norse gods is Gyda's death, where I imagine he must have prayed for her recovery and other than Ragnar, she is the person he feels the closest to (I think there was a missed opportunity in the S1 finale to flesh this out better). After having lost his birth family to an epidemic which he explained to Gyda), it must be devastating to lose a substitute little sister / child to plague. He must lose faith around this time.
He is the most Viking during the raid in Wessex, and he is furthest away from Christian when they raid the church (and when Floki questions his faith, he says with all conviction that he is not a Christian anymore) and he kills the monk protecting holy scripture (essentially his young self). You can see that at that point he is confronted with the pillaging / killing part of being Viking, and that it is something he will never be able to fully reconcile with himself. So then he slowly starts going back towards Christianity, with the mercy killing of the bishop, trying to read scripture in his tent while Horik's people are raping the nun.
During his cruxifiction he is praying in Latin (rather than to Odin), and though it is not linear (e.g. the mass where he spits out the Host) he goes back to praying again to Jesus. After that he never becomes fully Viking again. He goes back with Ragnar in Choice (as others said upthread, probably because Ragnar offers him something he has come to value more than anything Ecbert gives him - free choice), but Ragnar says in Lord's Prayer that he sees him again praying as a Christian (and they pray together). Unless I'm wrong after this point, we don't really see him denying being a Christian, while admittedly he still professes not being able to let go the Viking gods.
The affair with Judith stands out like a sore thumb in this arc. I see Athelstan foremost sincere and respectful - he is sincere about his convictions, then his doubts, but he is never disresprectful or glib about someone else's faith, whether Viking or Christian. I think he stops seeing himself as a monk when he decides to raid with Ragnar, and kills - there is no way he would have gone along with the phoney confession scene or Judith adoring his "stigmata" (there is no way he would see his own cruxifiction as anything other than a punishment for apostasizing) or willingly wreck a Christian marriage.
Then there is the obvious lack of chemistry between the actors which makes it so difficult to believe that he tried to resist temptation, but it was swept over by lust / love. It seemed more like a pity sex, with the unconvincing "sure, I love you too". Which then makes the whole "holy birth of Alfred" narrative ridiculous. So I will disregard this stupid romance and go back to the faith arc.
Once Athelstan gets his golden cross back from Ecbert, we see him wearing it, even when he goes back to the Vikings - accepting his fate to be torn between two faiths, but clearly not being happy with it.
From then to arrive to having a religious experience and his relief to "have a sign" is not such a stretch. Accepting the inevitable martyrdom (which he was afraid of during/after the Lindisferne raid) brings him to a full circle. Still, his death is a bit of a cop-out, as maybe a more interesting test of faith would have been to have him stay alive and having to choose whether he goes to Paris and what he does when he gets there. Would it still be possible for him to side with Ragnar like in Wessex? Would he stay behind?