I don't think we are born with that urge, to imagine supernatural causes for the world we see, but it is only natural that especially in prehistoric times people couldn't cope with the environment and give explanations for physical phenomena (lightning, earthquake, the rain, the sun etc.). But as all being we are creatures who need protection from things we cannot understand and from ignarance which creates fear. The natural tendency is to first seek the answers from somebody else (ie gods) and not to search the answers ourselves.
On a foot note I will say that this god has to be superior in nature, the way off-course we choose to depict him, because we unconsciously want to trust our questions to something which will not be wrong in any case and since we as humans make mistakes, the only way we can feel that the answers we receive from the imagined gods are correct is if the imageries of those gods are perfect, unattainable in nature (ie better) and superior. But from the minute we conceived the idea of gods we actually used our own capability to understand the world. Hence that the character of gods especially in ancient times was not much different from the people who created him/her/them. That's why ancient religions were flat-out fairy-tales and very simple in nature and represented what the people needed to know at that time.
Another reason why we feel the urge to have superior gods in my very personal opinion is just a substitute of parenthood. Besides all the physical phenomena that were turned into gods were great in size and made a huge impression on primitive men and women so the cause had to be something equivalently great and terrible in the cases such as the earthquake and thunder or something else.
Now when a god has the role to be related to concepts and notions such as morality, death and life that's because these are things thatare beyond the scope of the physical world and thus we have gods who exist beyond the physical realm as well. But the non-physical realm as well is something unknown and causes fear, so the god who "dwells" in such properties has to be even greater and non-defiable, just because a human cannot defy what he cannot know while living in the physical realm. But in the process of creating a god who knows what is beyond the physical realm we ourselves start imogining and presumingwhat there is outside the physical realm and attribute this "knowledge" to the god so as this knowledge to acquire validity.
Historically viewing the subject, gods in ancient times where compensating for the lack of understanding of simple things such as physical phenomena, which as time passed and became understood, gods turned into thoughts that handled more complex issues such as morality, ethics and deep meaning of life. As time passes by more and more things will be conceivable and understandable and gods will be shifting their roles to what humanity needs because of what lack it faces.
Much like a person needs a parent to be guided, that's how humanity collectively needs a god in its first steps.
Metaphorically speaking, 10000 years ago when humanity was at it's early childhood it needed parent-gods that explained the very simple things. 2500 years ago humanity was right before puberty and had different concerns and that's how gods like the Christian god appeared (preceded by the ancient greek gods who although did not realy answered to issues like moralit, still we see from the philosophers of that time that such issues were important, and off-course ancient greek philosophers were one of the sources of Christianity) who dealt with deeper issues. Then in the Dark Ages humanity reached it'spuberty and after it it should have matured enough to start thinking about not needing parents but...
Those are just my thoughts. I hope my answer was relevant.
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