I think Carmichael has this thread on lock, so I'll just add some commentary to what he has already laid out.
If we were to list the top 100 reasons why human beings come to have beliefs, whether religious or otherwise, missing from the list would be that the belief is true. It's simply not relevant to our survival whether or not what we believe is actually true, but whether or not our general responses to that belief are conducive to our well-being- most especially our collective survival.
The reason why religious beliefs persist despite evidence to the contrary is because, until very recently in history, it was next to impossible to survive without having unwavering loyalty to your tribe and deep suspicion of outsiders.
To understand just how well this works, take note of something that I only recently came to realize, despite having it thrown in my face for nearly 2 decades of being physically in with various levels of being mentally in-and-out. Watchtower constantly conflates the factuality of belief with the morality of belief. That is to say, they claim that their faith is objectively based on evidence, but also claim that whether you agree or disagree depends, not on your efforts to examine the facts, but on whether or not you are a good person. It's not even a subtle trick that they pull, but it's still easy to overlook because we are psychology primed to make that connection.
Disagreeing with one's religious beliefs has, again, until very recently had a near perfect correlation with being either a rebel or an outsider of one's tribe, indicating that the person should be looked at with suspicion. Watchtower capitalizes on this fact better than most religions in the developed world by rather cleverly intertwining their religious activities with every single possible aspect of the life of an adherent. The farther you stray from absolute conformity with belief in Watchtower creed, the closer you get to losing your membership to the tribe.
It may not be anywhere near as dangerous as it used to to be cast out of your tribe, but our unconscious brains don't know that, since they were evolved to live under much different conditions than what we currently experience. Thus, our cognitive faculties work desperately to prevent us from changing our minds.