The first book and parts of the rest of the trilogy are set in an alternate universe version of Oxford which is sort of steampunk in some ways, but mostly stands out because everyone has a 'daemon', a sort of spirit animal, which is basically their soul manifested outside their body - and if somehow they are removed too far from their daemon, they instantly die. The heroine is a girl of twelve-ish, Lyra, who is rather contrary and abrasive as protagonists go, but it works well enough. Most of the second book is set in the real-world Oxford with a new protagonist, Will, then Lyra and Will meet up, their worlds start to intertwine and things eventually escalate to a multi-verse-wide uprising against the angel Metatron who usurped God's place to rule over the multi-verse. So definitely it has a lot to do with religion and it's not very flattering, but it's not aimed at Christianity as such, but rather at the ways people historically or currently have abused Christianity for their own ends.

The movie that was made a good while back of the first book, with Daniel Craig and Nicole Kidman in lead roles, was not that bad, but had little enough success that they never made the second and third movies. I don't know about the HBO series now.