From what could find, hopefully accurate, currently five justices are Roman Catholic, three are Jewish, and one is Episcopal. (Five, since Kennedy remains on the court until the end of this month, and that will not change if Kavanaugh is approved. I believe before Gorsuch six were Catholic -- pretty sure Scalia was Catholic.)
- John G. Roberts, Roman Catholic
- Clarence Thomas, Roman Catholic
- Ruth Bader Ginsburg, Jewish
- Stephen G. Breyer, Jewish
- Samuel A. Alito, Jr., Roman Catholic
- Sonia Sotomayor, Roman Catholic
- Elena Kagan, Jewish
- Neil M. Gorsuch, Episcopalian
- Anthony Kennedy, Roman Catholic
Official biographies of the justices can be found
HERE, but their religious affiliations are not mentioned.
The thing of primary importance for these judges, to me, is their view of law and the Constitution, so I wouldn't favor religious quotas or tests for nominating a Supreme Court justice. Nevertheless, this Catholic-Jewish predominance on the court strikes me as odd, considering Protestants as a group make up nearly half the U.S. population (I think), Catholics about 20-25%, and Jews maybe 2-5%.