Of course there is always more to it than that, so here are a few more details of the setting.
The game date starts long after the fall of a great empire that ruled all the known lands for hundreds of years (perhaps thousands). Following this empire came a "dark-age" where the many places were left to slow decay without the support of the empire, and others began to fight among themselves.
For hundreds of years the great temples, castles, cities, and towns of the old empire were destroyed, left to ruin, or lost.
In the center of the known lands is the Spiral City which is the old capital of the empire. Here all the various races still are welcome. And there folks can usually find an elf or two who will tell them that the city is much older than "that most recent empire".
There are many gods that are worshiped throughout the lands. The most common in the human areas is Lys, the god of light. The people generally accept that there are other gods, but only concern themselves with their chosen god (unless faced with a servitor of another god, which could happen).
While gods can grant gifts to the faithful (Power Investiture, Holy Might) and intervene when asked through prayer, they do not seem to involve themselves in mortal affairs otherwise. When they do, it tends mean something historic is going to take place.
Most religions have some variation on the same origin story. In most cases the belief was that an earlier world existed "under" this one. In most stories there were 4 previous worlds, each under the next.
The story goes that the gods created their people in the first, world, but that it was inhospitable. The reasons varied from one belief to the next, but some examples are that the worlds were dark, frozen, burning, nothing would grow, etc. In each case the gods took pity on the people and opened the sky. Then a ladder was lowered (or a tower was built, or a rope was made, or wings were given, ...) and the people climbed into the new world. The next world would have another problem, and the people would move on.
Still fairly "generic" in many ways, I tried to seed a few excuses for why there might be strange structures underground. Even if the origin myth had nothing to do with actual history of the world, it could have been an earlier peoples explanation for finding whole worlds underground.