The Romans relied on religion, not science, to explain their world. The increasing pessimism of the late Roman Empire fostered the growth of astrology, religious cults promising personal salvation, and mystical philosophy.
The Jews under Roman rule were hard to control and divided among various political and religious factions. Many Jews believed in the imminent coming of some sort of deliverer, or Messiah.
Christianity began as a Jewish movement. Paul separated Christianity from Judaism and spread its beliefs throughout much of the Empire.