I can only describe my own situation. I was confused for years, but some dreams indicated that I had to get over an obstacle so I made my mind up to commit to a religion. I knew I was a polytheist and that I wanted something with a track record (so not Neopaganism) that wouldn't leave me feeling foreign (so not Hinduism or Shinto). So Hellenic, Egyptian or Germanic? Somehow I decided to go for Hellenism. Do gods speak to me? Not really (although Asklepios did tell me to repaint his statue!) but I'm not worried. Don't forget that there's no right choice. If I'd chosen the Egyptians, it might have worked out just as well. Nor do you need to prove anything: people have been experiencing gods for millennia — just take their word for it. I'm always amused that people can believe in protons and that each contains 3 quarks, and yet have trouble with gods!