I'd definitely recommend SPQR as a starting point then, it really helped me put the pieces together later when references to Roman history came up in what I was reading, and there's a lot about the politics in it.

Religion as you mentioned above, a lot of writers in the Western canon are coming from Christian traditions, from Chaucer's corrupt and model religious officials in The Canterbury Tales, to vice, virtue and hypocrisy in Shakespeare's Measure for Measure, to Dickens' redemption of Scrooge in A Christmas Carol, to Trollope's examination of different approaches to Christianity in The Barchester Chronicles and also some of the Palliser series (which is more about the contemporary political structure. Trollope himself had tried to become a MP). Honestly, if you read just Anne Bronte's Agnes Grey, which is pretty short, think about how Agnes relates to contemporary ideas of Christian virtue (Anne especially is interested in these ideas, her sisters less so but it's still an aspect, they were the daughters of a clergyman) and about women's role, I'd guarantee you'd learn more than Peterson will ever teach you about how women actually lived (if reading fiction, don't forget to notice lower class women, who may not always feature prominently. Men too).

Life of Pi is a contemporary novel that's significantly about faith and its importance to people, and very quick to read - it can also be interpreted in terms of Jungian archetypes. Jungian models are much better for analysing literature than real people, though. I'm going to see the play streamed to cinema next month, and there's also a movie adaptation.