You said Odin. I don't think I can believe in Odin because I know it's Greek Mythology and there was no Mt. Olympus.
To answer your question, how can someone believe in something they do not believe in now? They would have to find out they were wrong. I mean they can't just believe by themselves. Something external has to change their mind. Belief isn't just faith-based.
You apparently don't know much about mythology. ZEUS is the one who led the gods on Mt. Olympus.
Odin is from Norse mythology. Here...............educate yourself..................
Odin - Wikipedia
As far as belief being innate or a choice? I'm gonna go with choice. Because of the way all the foster families lied to me about religion, I turned my back on it because it made no sense to me. That was a conscious choice to change my beliefs every time I changed foster families because I wanted to fit in and be like them. After I became an adult? I chose to turn my back on all forms of organized religions. Again, another choice to change my beliefs.
Then, in my 30's, I came across Taoist beliefs and their system, and to tell you the truth, it kinda made sense, so I again changed my belief systems by choice, and became a Taoist.