It seems to be that your question is a misinterpretation of past philosophies and theologies. Believing in an afterlife isn’t even natural for human beings and you can check that out in the work of anthropologist who trace our ancestry to hunter gatherers. Most of them have a really straightforward relationship with death.
What you mean is the thinkers of civilizations, and that’s a topic that Lewis Mumford covered in his book The Myth of the Machine. That thinking in the afterlife and all those tools like spirits and gods were used along history for… Power. You can think of that like proto-science or just trying to make sense of the reality, but to assume that all smart people of the past believed in gods, spirits, “the little people” and the afterlife is to picture a really homogeneous (probably greek or egyptian) past of humanity.
I wouldn’t say “What’s wrong with us modern people?” since today I find really reasonable to be critical of one’s and other beliefs. Not for the sake of destroying it, but in search for better philosophical answers. If you say something exists, you better try to explain what it is and how did you conclude that it exists and, if possible, show some empirical evidence. Today we’ve got science that is to date our best shot at nailing some comprehension of our material realities, yet, it all exists in a socio-political context, so to assume that something is “scientific” and therefore “real” is to have things mixed.
I suggest you to check the history of philosophy, that work of Mumford that I find it to be a masterpiece in sociology that everyone should know, and if possible, maybe understand how serious thinkers think: some are believers, some are not, but a sure thing is that a conversation about the validity of some positions exists somewhere. Like Spinozas god or Descartes god, how magical thinking works, why we believe what we believe, etc.
This doesn’t have the right to be this entertaining!