Sometimes I have seen the pronouns referring to God and Christ capitalized such as He and Him. Sometimes these pronouns were not capitalized.   
Should these religious pronouns be capitalized?

If you go in for that kind of thing then these are the rules according to standard editorial guidelines for English language religious texts published by Christians (other religions have different rules):

Capitalization: Religious Words and Phrases

Trinity and deities
All names of the Trinity and of foreign deities should be capitalized.
El Shaddai
Allah
Paraclete
Baal

Common epithets for persons of the Trinity, biblical characters or historical persons should be capitalized.
Alpha and Omega
Son of Man
Comforter
Virgin Mary
King of Kings
Venerable Bede

Pronouns referring to persons of the Trinity are capitalized.
God sent His Son
Yahweh and His commandments
God in His mercy
Jesus spoke to His disciples

Nouns and adjectives used as possessives with persons of the Trinity are not usually capitalized.
God’s omnipotence
God’s fatherhood
Jesus’ sonship
the Spirit’s indwelling

Apostle and prophet
Apostle and prophet are not usually capitalized when used in apposition to a proper name, but they are usually capitalized when they form a common epithet.
the apostle John (used in apposition to a proper name)
the prophet Jeremiah (used in apposition to a proper name)
the Beloved Disciple (epithet used in place of a proper name)

Pharaoh
Pharaoh is capitalized only when it is used as a proper name.
Moses spoke to Pharaoh.
The pharaoh refused to let the people go.

Satan
Names for Satan are capitalized.
the Beast
Father of Lies
the Devil
Evil One

Bible and biblical events
Names for specific parts of the Bible are usually capitalized. If a common noun is used alone to refer to the Bible, it is usually capitalized; if the common noun is used in conjunction with a part of the Bible, it is not capitalized.
Pentateuch
New Testament
Beatitudes
Lord’s Prayer
the Psalms
the book of Job

In general, names of biblical events are not capitalized when they are further modified by a proper noun, but are capitalized when they are used alone.
the nativity of Christ
the Nativity
the crucifixion of Jesus
the Crucifixion

Gospel
The word gospel is capitalized when used alone to refer to the actual written gospels or when used as a title for a section of Scripture; it is not capitalized when used as a common noun. When the word gospel in used to refer to the good news of Jesus Christ, it is not capitalized.
The Gospel of John uses contrasting images of light and dark.
The Gospels record the life and work of Jesus Christ.
The Synoptic Gospels include the gospels of Matthew, Mark and Luke.
The story of the woman at the well is found in John’s gospel.
D. L. Moody fearlessly preached the gospel to the lost in Chicago.

Parable
The word parable is not usually capitalized unless it is being used as a title.
Jesus often spoke in parables.
He taught about forgiveness in the parable of the prodigal son.
The Parable of the Prodigal Son is found in Luke 15.

Creeds, holidays and councils
Creeds, confessions and religious holidays are usually capitalized.
Apostles’ Creed
Westminster Confession
Christmas
Ash Wednesday

Historic councils are capitalized.
Council of Chalcedon
Council of Nicea

Church
Capitalize church when referring to the body of believers.
In Revelation, Christ returns for the Church.

Denominations are usually capitalized.
Baptist
Roman Catholic
Reformed

Places of worship are capitalized only if they refer to a specific location or organization.
Episcopal Church
the church
Temple Emmanuel
the temple
St. Paul’s Cathedral
the cathedral

If you apply normal grammatical rules then only proper nouns require capitalisation.

I've always wondered why in English the first-person singular nominative pronoun "I" is always capitalized, while the same in other European languages - je (French), ich (German), ik (Dutch); io (Italian), yo (Spanish) - are always in lower case (.... unless, of course they start a sentence).

Similarly whilst in English, "I", the first-person singular nominative pronoun is capitalised - the first-person plural "we", the second-person(s) "you"; the third person(s) "he/she/it/they" are not - and neither are the possessive pronouns "my/your/his/her/its/our/your/their. Why, in English is "I" uniquely always capitalised?

When English lost its originally Germanic differentiation between formal and informal pronouns it was left with the capital "I" as the only legacy of that convention still in use today. Examples of the informal alternative ("me" in the nominative) survived up to relatively modern times ("methinks" is the only one that in any way sounds right these days, methinks), though are now completely obsolete.

In High German "Ich" retains its formal capitalisation, much like in English, but only in very official and rather stuffy documents (the written version of the presidential oath is an example I have seen). However in vernacular German it never requires to be qualified by another word indicating its case so never requires capitalisation except when it is the first word of a sentence anyway.

In English, when "you" could be formally represented by "Thee" and "Thou" they also tended to be capitalised. Likewise one could distinguish between a formal "He/Him/She/Her/His/Hers" and informal "he/him/she/her/his/hers" through use of capitalisation in texts too (as well as  "Them", "Him" and "Her" being used in the purely nominative case). And there are other examples of formal "We/Our" versus informal "we/our". But none of these examples are generally to be found with any consistency in printed texts, even early ones, simply because by the time print arrived the old grammatical distinctions were already breaking down and rules of capitalisation had also become rather fluid. One really has to go back to Old English manuscripts to see it in action.

The use of capitalisation peculiar to religious texts these days harks back to these ancient distinctions, though in fact breaks some of these old grammatical rules through its endeavour always to indicate divine pronouns through capital letters, for example when a sentence contains two identical possessive pronouns in which case the second use should never be capitalised. All a bit of a stilted and artificial effort to instill some assumed sheen of authority in a text through an application of archaic grammatical standards, though actually failing as it often gets these standards wrong and to the educated eye therefore has all the linguistic authenticity of Joseph Smith's mock-KJV "Book of Mormon".

I don't know enough about French to even guess why a Germanic-type differentiation between "high" and "vernacular" speech never seemed to be paralleled there, at least when it came to pronoun use and capitalisation when writing these words. It may be to do with its origin as a romance language which never inherited such distinctions from its Latin roots? I don't know.

Nordmann,

read your last message with great interest. You always put your messages in such detail and even well founded...

With esteem, Paul.

I was trying to find a photo somewhere of the sign to be found until relatively recently on the T-Bane (Underground) train doors here in Oslo, but alas no luck. It was a perfect example of how High German had retained echoes in "official" Norwegian, betraying the latter's Germanic origins, and a form which is still to be found when the monarch speaks or during state ceremonies, high church services, within traditional biblical texts etc.

"Len Dem ikke mot dører" was the caption. In "normal" Norwegian this translates as "Don't lean Them against doors" (to the delight of pedants of all ages), but of course the more correct translation would be "Ye shall not lean against the doors". The capitalised "Dem" changes it from "them" to "you plural" and what should have been "døren/dørene" to indicate the definite article ("the door/the doors") is no longer required due to the case having been established earlier. Today we have the rather less quaint "Vennligst ikke lene seg mot dørene" or some such modern user-friendly version, though still a warning to be ignored at one's peril and probably better served by the old no-nonsense biblical sounding direct commandment version - we've had more than one incident with the new carriages when the doors have indeed opened while in "full fart"!