User blog comment:Rukathesoldier/Journal of Fenris Shield-Render part 1/@comment-12599067-20140807172217

The Fenris I made/use doesn't worship any gods in particular. He doesn't give it much thought, but if you wish, it would be logical for him to worship the Divines.

I'd advise you to bring Fenris back to Mistwatch at sometime or another, as he was formerly one of the bandits living there. As for quests, bounty quests and Escape From Cidhna Mine are right up his alley.