Because you capitalize the names of places, you capitalize the words that come from them. Capitalize the names of nationalities or ethnic groups, languages, and their adjectives.
German, Caucasian, Asian, Japanese
Capitalize the names of religions, religious followers, holidays, and religious writings.
Christianity, Judaism, Islam, Hinduism
Christians, Jews, Muslims, Hindus
Christmas, Hanukkah, Ramadan, Holi
Bible, Torah, Koran, Vedas
The names of gods and goddesses are capitalized. The Judeo-Christian god is named God, since they believe He is the only one. Believers also capitalize pronouns (like he and him) when referring to God. "God" is only capitalized when being used as a name. The Muslim name Allah is a translation of the name God. When referring to Greek, Roman, and other groups of gods and goddesses, only the name is capitalized.
Greek god Zeus, Egyptian goddess Isis
When people form a group and give it a name, it should be capitalized. Capitalize names of organizations, institutions, stores, businesses, teams, political parties, and government bodies.
League of Women Voters, Knights of Columbus, Veterans of Foreign Wars, Lakeland Middle School, Florida State College, Walter Reed Army Hospital, Tony's Auto Body Shop, Beachside Toys, Suzy's Bakery, South Fork Printing, Safe Arms Insurance Agency, HNJ Raiders, Chicago Bulls, Democratic Party, Republicans (but not when describing - a democratic government), Department of Agriculture, Central Intelligence Agency
Capitalize the abbreviations of organization names as well.
YMCA, CBS, FBI, NBA