Answer: D. they
Step-by-step explanation:
They felt at home with human gods.
The correct word to fill in the dash here would be a pronoun that can be used to start a sentence. This rules out options A through C as these are used to describe nouns that have already been mentioned in a sentence.
"They" is a pronoun that is used when referring to a group of people and in this case we are referring to the Greeks so it would be right to use "they" to describe their tendencies to feel at home with human gods. It can be used to start a sentence as well so it is the correct answer.