According to the Canadian Encyclopedia, the largest religious denomination practiced in Manitoba is Catholicism, with United Church and Anglican being second and third. The Manitoba Historical Society has a page about the early churches in Winnipeg here.
FamilySearch has a browse only collection called Manitoba Church Records 1800-1959 here. The collection has both Catholic and Protestant records from various Manitoba parishes. Take note that while some records are in English, you will also find records written in French. You may also find Icelandic language records. The FamilySearch wiki on church records is a great resource for archive contact information.
The Archives of Manitoba do have some religious records on microfilm. When I entered "religious records" into their keyword search, I got 13 record sets involving religious records that covered the years 1820-1999. They offer inter library loan for microfilm records, but not everything is on microfilm.
Also check out the Hudson Bay Archives through their site. If your ancestor was in Manitoba during the years that the HBC owned the land, you might find some mention of them. The Archives not only has official records of the company, but a rather eclectic collection of letters, journals, and other genealogical information.
The Manitoba Genealogical Society has a great set of links to help you find religious records in Manitoba.
Unlike other provinces, it looks that the best way to obtain church record information is to contact the religious archives themselves. The FamilySearch wiki on church records is a great resource for archive contact information for Manitoba.
The Encyclopedia of Saskatchewan, a great resource tool for Saskatchewan research in general, has an in depth history of the provinces religious history here. The province has always been a predominately Protestant one, with Catholics being the second largest denomination.
FamilySearch has an indexed collection of Catholic church records that cover the years 1846-1957. You can access the collection here. They also have a small wiki on Saskatchewan church records here.
The Provincial Archives of Saskatchewan has some church records among their holdings. Some are original and some are on microfilm. Access can be restricted though. Check the link above for exact rules. Also on the page is the contact information for the various church archives for the province.
The Saskatchewan GenWeb has a great page about religious records. It is filled with links not only on finding the records you need, but also on the history of the various religious sects.
If you have Mennonite ancestors in Saskatchewan, try contacting the Centre for Mennonite Brethren Studies. They are a repository for the history and records of the Mennonites in Saskatchewan.
Next post in the series, we'll be looking at Alberta and British Columbia.