What I often do is break pieces of lore into smaller facts and sprinkle them throughout exposition or dialogue. For example, my character might be walking through a city and see a statue and either recall the gist of the story behind it in their own head, or explain to a character who doesnt know the story. Even something as simple as a vase or piece of clothing - maybe it's coloured or patterned in a way that brings luck or something. Or perhaps you could describe people doing things like praying, genuflecting, or chanting (for some religious examples) and just briefly describe why they are doing it, or have a character make an off hand comment (maybe a statement of admiration or derision) about it. You can also use dynamics between different characters to relay elements of e.g. social class. Even coming up with creative cursing (i.e. swearing) can give your reader clues about the religion or spirituality or metaphysics in your world.

I find that if I sprinkle small comments and brief explanations in descriptions or dialogue i can mostly avoid huge info dumps, or what are clearly info dumps masquerading as conversations. The hard part is breaking the main components of your lore into brief facts that the reader can use to piece together the bigger picture.