Spain has historically been a Roman Catholic country. Even today most people will say that they are Catholic, even if they do not practice it. However, there is a growing population of Protestants and non-Christians. In major cities you may be able to find a group of your faith, mosque, or a synagogue. You may want to do some research before coming on where you will be able to worship. Expect curiousity about your religion if you are not Catholic. Keep in mind that Spanish culture is distinct, and that common values and practices may not correlate to your faith.
Ultimately your experience in Spain depends on your attitude. Be tolerant towards others and be patient if they are intolerant towards you. After all, you came to Spain to learn about a different culture, and it will be different.