There are of 35,000 religious sects on earth at the moment. It makes no sense to think just one is correct, and all those people with no access to that religion cannot have a relationship with God.
Every religion is started by a person. A man, or occassionally a women, thinks they know what God wants, that they have superior knowledge of his requirement, or a special connection with him. Some write a new holy book, others re-interpret an existing holy book, but claim only their interpretation is correct. They set up a religion, and for some unknown reason, other mindless humans actually believe them.