Heads up - it is very very likely that he is having an affair.
I don't say this to shock you, and I may be wrong, but the scenario you've just described is usually due to either an affair, or some other addiction such as gambling. Given his sudden interest in religion, I wouldn't be surprised to find out the other woman is of his faith!
That being said, if there IS another woman, she is just a symptom of his underlying problem. Usually these men are depressed, and/or going through a midlife crisis. The affair is just the band-aid. For what it's worth, I think men who leave suddenly like yours usually do so because they feel SO guilty about leaving, they cannot face you. That's actually a good thing - on some level, he knows what he's doing is wrong.
I know you must be reeling, but first things first - take care of business. An erratic walkaway spouse (WAS) like this can do things like draining bank accounts, etc. Take some steps to protect yourself financially. If you need to take half of existing savings and transfer them into an account in your name, do so. DO whatever you need to do with credit cards etc. to protect yourself from debts he may run up.
Then - focus on yourself. We can't control what they decide to do, but we CAN be the very best that we can be, we can fix what WE need to fix in ourselves, and we can live a life that's so full and interesting they'll wonder why they ever left.