The brutes are rather famously in denial, the elites were rather furious but what about the Jackals, the hunter worms, the insect like species or the minor prophets? I imagine that last one was rather worried about being lynched by the other species for this.
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The thing is that the Covenant was a caste system, so for some it could be argued that their devotion was less genuine.
Grunts were basically slaves (serfs if you want to be nice), and while their were some deacons, the source material leans that they were more then happy to break off and make their was in the universe. They’d join up with the banished and generally enjoy greater freedom enjoying the secular life.
Jackals are mostly mercenaries, so no love lost there.
Hunter worms are strange, because while sentient, they are the most “alien” of the covenant. They were recruited, so much as tamed by the covenant. So again, no love lost (at least not in the material).
Drones are hiveminded, so their devotion would be to their hives and queens, and were amongst those too weak to fight back against the covenant and just did their own thing post-war (in fact their not in the games after 3).
Prophets we actually know a little bit more about, and it varies. Some saw the error of their ways and sought to rectify their mistakes, but a good chunk of them escaped high charity on a flotilla as part of Truths plan. If memory serves, He wanted to activate the Halo, wipe the slate clean, and let the prophets rule the galaxy. Something like that, and it was only made clear after Halo 3 what his plans were.
A lot of them didn’t fully believe to begin with. The Elites heavily believed as did the brutes and prophets. But the rest more acknowledged it for appearances and went on about their day.
The Hunters that could, hijacked as many ships as they could and fled into unknown space
The brutes fractured between hardcore believers like Tartarus and less faithful rulers. Most of them initially sided with Tartarus before splitting off once they saw the prophets were failing.
The grunts didn’t get much choice but they had a few deacons who were either emotionally devastated or killed by their own flock. And then they were forced to fight for both sides.
The Drones didn’t care at all about the faith but were forced to fight for the prophets or lose their queens.
The jackals were mostly just mercenaries to begin with and found new pay masters right away or stole anything that wasn’t bolted down or heavily guarded.
The faith kinda lingered for a bit with believers hoping it wasn’t true or not entirely false. The Elites didn’t punish this lingering faith and let it somewhat burn out on its own. Though a handful of zealots that weren’t punished or discouraged ended up finding a remote covenant colony that had been lost for years. Using their position within the religious order they overtook this colony and started the remnant force seen in 4 and 5.
The Kig-Yar by and large did not really care about the Covenant religion. They remained loyal to the Covenant because they were being paid, and the fact the Covenant was the biggest fish in the sea. Not a whole lot changed for them.
The Unggoy were likely rather split. Many Unggoy only served the Covenant because they were forced to, but many others also deeply believed in the Great Journey. I imagine those that believed largely joined a Covenant splinter group, like the Servants of Abiding Truth.
We don’t know a whole lot about the Lekgolo or Yanme’e religiosity. But they hardly seem like the type of species that deeply believed.
The Huragok were creations of the Forerunners and had no interest in religion.
The few San’Shyuum that escaped High Charity’s Flood infestation went into hiding, and we know little about them.
Depends by species. But it’s also worth noting who knows it’s a sham, what that means, and what proof there actually is for that fact is kind of up in the air. At least in the old lore (I’ve fallen very behind on a lot of the 343 era additions so apologies if this is out of date) not even the 3 Hierarchs knew the extent to which their religion was bunk. The “big lie” that they were covering up was the promise that all who believed would Walk The Path and be saved, not that firing the rings would allow some to Walk the Path and ascend. The Prophet of Truth was willing to fire the rings in halo 2 and 3 because he was still utterly convinced that even if all his followers wouldn’t, he at least would ascend to godhood. So there’s a lot of groups out there that still essentially subscribe to forerunner worship, and sometimes even have the overarching goal of finding and firing the rings, they just no longer subscribe to a religious hierarchy with the Prophets at the top as unquestionable priest-kings. The elites, brute, and Grunts seem the most inclined to fall into this category. The Covenant Remnant that appear on Halo 4 and 5 are among these groups, for example.
The Jackals by and large don’t care. It’s not that they were never at all religious, but they’ve never been super religious and have always been very mercenary in their mindset, so most have gone back to being mercenaries and pirates without the Covenant Empire to tell them otherwise. The Hunters are kind of the same. Colonies can grow to like certain people, a lot seem to have stuck with whoever they liked (it’s why plenty of hunters sides with the elites who commanded them during the civil war), but they’ve always been pretty indifferent to religion. The Drones we really have barely any info on and probably fall into a similar category.