He was a Christian. More specifically, He was a Puritan.
A Puritan of 16th and 17th-century England was an associate of any number of religious groups advocating for more "purity" of worship and doctrine, as well as personal and group piety. Puritans felt that the English Reformation had not gone far enough, and that the Church of England was tolerant of practices which they associated with the Catholic Church.
You can read more about Cromwell and the Puritans on Wikipedia