it's a bit more general than that. The little g is for polytheistic religions of any kind (including but not limited to Greek, Norse, and Egyptian myths) and usually but not always refers to immortal beings of great power; whereas the big G is for referring to an ultimately supreme Being who created the entire universe and is Himself without beginning or creator (many people have different theories about what this being is like exactly, with ideas such as Deism, a generic form of Aristotle's concept of the "Uncaused Cause", Christianity, Judaism, and Islam being some of the more common theories)
