Theros is somewhat unusual in MtG settings in how explicitly influenced the world is by its Gods. In most MtG settings, Gods are either non-existent or only kinda-sorta gods. Ravnica, D&D's last visit to the MtG multiverse, is a world that doesn't really have gods - the most traditional religious organization in the setting came out with a dual-land that worked as a (black mana) Swamp and (white mana) Plains called "Godless Shrine." In the era's past, there were god-like beings that traveled the multiverse, but following the Time Spiral block (which came out the year after Ravnica debuted) Planeswalkers were profoundly downgraded to basically superheroes rather than gods.
Theros was the first set to use God as a creature type.
The first set introduced five gods, one for each color of magic, and they later created ten more, one per two-color combination, meaning that there's a god corresponding to each guild in Ravnica.
The use of these colors, though, does create some dissonance with D&D's classic alignment system, introducing some nuance and messiness - which actually makes it a lot more like Greek myth.
Take Heliod, for example. Heliod is the would-be patriarch of the Theros Pantheon. As the white-mana aligned God, he values morality, authority, and cooperation. Unlike Zeus, he's associated with sunlight rather than storms, but he fills a very similar role.
In D&D terms, he very clearly gets put in the Lawful Good category.
D&D fits with a more Abrahamic or Zoroastrian mythos of dichotomies. In D&D, the good outsiders are good, and the evil ones are evil. You'll never encounter a demon that doesn't want to destroy you - even if they're willing to help for the time being. And while you can have overzealous beings in the service of good, when a being like an Angel takes it so far that they become evil, they literally transform - take Zariel, who turned into a devil because she allowed her desire to fight chaos outweigh her desire to do good (though depending on how you do in Descent into Avernus, this change might not be permanent.)
Heliod, however, is arguably the big bad of the Theros setting. When the Planeswalker Elspeth Tirel comes there and looks for guidance, he tries to kill her, jealous of her power, and then manipulates her into acting as his "champion" and playing at being her benevolent patron. The truth is that Heliod believes (genuinely) that he ought to be in charge of everything and lead the pantheon, but he's actually petty and jealous.
I think a key way to approach the Theros setting is to look at Greek mythology and consider the fact that their stories were written (or rather, told, as most of their stories were an oral tradition) for dramatic effect first, and moral lessons later. That's why Greek heroes are less "heroic" than you might expect. Consider the fact that Heracles murdered his wife and children - the famed "Twelve Labors of Hercules" were actually the tasks he was sentenced to after committing that heinous crime (yes, he did so during a psychotic break, or "Ate" induced by Hera, who hated him for being her husband's bastard son). Heroism in Greek myth was much less about moral virtue than acts of greatness and renown - though that's not to say that there weren't traditionally admirable heroes among them (indeed, Hector, the champion of Troy, was such a great guy that when Achilles dragged his corpse behind his chariot around the walls of Troy, the gods prevented his body from being damaged, so he still looked as beautiful as he did in life even after this desecration.)
But you're probably familiar with the notion of Greek tragedy - the classic (literally) dramas that tended to end with the protagonist's undoing and destruction. Typically, a hero earned their tragic end by fighting against fate. But the ultimate fate of all mortals is right there in the name - mortals suffer from mortality.
And yet, for the Greeks, those who strived for excellence, to rise above, earned the best afterlife - the Elysian fields (ironically, D&D's Neutral Good plane, which I'd guess is the best one, is named after just one area of the namesake of its Neutral Evil plane, Hades.) Fame was a major value in Greek culture, and the fact that we still tell stories of Perseus, Theseus, Heracles, and their ilk would be a great sign of their success at living meaningful lives and earning their spot in Elysium.
As such, a Theros campaign naturally makes larger-than-life characters a strong choice for a party. But it also gives characters of any alignment a reason to strive against the gods - even those that they worship.
One of the really interesting, humanistic elements of Theros is the dirty secret behind the Gods - it's not that the Gods created Theros. It was the people of Theros who created the Gods.
Because Theros is connected to the realm of Nyx, which is made of dream-stuff that manifests things people think about, the Gods arose from things that mattered to people - the explanation for the greater specificity of the more recent gods is that humanoid civilization has given people more specific things to care about.
Heliod is one of the few gods aware of his position - that he is only this great big powerful deity because people believe him to be so, and thus, the gods instinctively know that they must find more worshippers and greater devotion to them to empower themselves and, indeed, to survive.
The potential of this element of the setting is utterly massive - it means that your party might be able to defeat a god not simply by fighting the monsters they send, but by convincing the people of the plane to believe differently. Elspeth, in the most recent set, is able to destroy Heliod's spear, Khursor, by convincing the people of Theros that her spear, the one she got in the Underworld while dead, was actually the real Khursor - and thus, it became so.
If the party wins the belief of Theros' people, they could potentially re-shape the gods themselves.
Thus, philosophy and belief is a very real force in this setting (not unlike Planescape, actually).
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