Well, in general they were stories that gradually evolved over time as they got passed from one person to another. Somebody would forget some detail and leave it out, somebody else would add a truthy-feeling embellishment in attempt to patch such omissions, etc.
The original seed could be anything: a bit of actual history; a scientific hypothesis; a dream or vision described by someone who sincerely thought they were a prophet; a campfire or nursery tale made up by a storyteller; the lyrics to a piece of poetry or music; a lie made up by a huckster; etc. Before the invention of writing, and the invention of, uh, call it “the idea that historians should try to be accurate”, the story would inevitably end up morphing beyond all recognition.
(Well, mostly beyond recognition. Something special happened in the Greco-Roman world, where scholars noticed that there were similarities between myths from different cultures. Sometimes the two cultures were distant cousins of one another, and it really was two versions of what had once been the same story; sometimes they had just independently discovered some of the same storytelling tropes. But, anyway, the scholars got it into their heads that every culture worships the same gods, and just calls those gods by different names and remembers different stories about them. They set out to collect foreign myths that they figured their own culture had forgotten, figure out ways to “translate” the names in those myths, and then add them into their own religion.)
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