Apple has separated out holiday types. Religious holidays are no longer included in the default calendar. Instead, you can install a calendar that is specific to your religious needs. Here's a calendar that is specifically for Christian holidays: https://www.calendarlabs.com/ical-calendar/religious/christian-holidays-41/
And here's one that is a general US calendar that includes Christian holidays (assuming that you don't mean Eastern Rite holidays, which are not the same as Roman-based holidays): http://icalshare.com/calendars/2
If you click on either link from Safari on your iPhone there is a "Subscribe" button that will install the selected calendar.