The Kalevala is not an ancient Finnish epic. It is a nineteenth-century composition, assembled by Elias Lonnrot from oral runo song he and others collected on field trips, chiefly in Karelia, and arranged by him into a continuous narrative with a shape it never had in performance.
That is not a criticism of the material, which is genuinely old, genuinely oral and genuinely rich. It is a statement about what the reader is holding. Lonnrot selected, ordered, harmonised variants and wrote connecting passages. Scholars working on Finnish religion go behind him, to the collected variants themselves, which survive in very large numbers and show the same episodes told differently by different singers in different places.
The earliest list of Finnish and Karelian gods is much older and much shorter: Mikael Agricola, the Lutheran reformer who created written Finnish, printed one in 1551 in the preface to his Psalter, naming the deities of two regions in order to condemn their worship. It is a hostile source and it is a contemporary one, and it remains a fixed point against which the folklore is measured.
Church records of the campaign against sacred groves, stones and offerings supply the same kind of evidence as in the Baltic case.
The Kalevala's influence runs the other way as well. It shaped Finnish national identity, and much of what is now popularly presented as ancient Finnish religion is downstream of Lonnrot rather than upstream of him.