Wikipedia says he still is and the children were raised Catholic. I don't know if Natasha was.
But this is surprising if you know who Ian Paisley was (political leader of Northern Ireland's Protestant hardliners):
His interest in acting and decision to become an actor was also influenced by Ian Paisley whose church Neeson would sneak into. Neeson has said of Paisley that "He had a magnificent presence and it was incredible to watch this six foot-plus man just bible-thumping away...It was acting but it was also great acting and stirring too. And his Baptism skills are second to none."
yes I know I was Raised in Glasgow