The story of Celtic myths it's a very interesting one. It's believed that the Celtics occupied the Alps located in North Europe, stretching to Ireland, some of Spain and west and central Turkey, also then roots of the Celtic culture is found on the Hallstatt culture.
The Celts were not a united group, giving a lot of diversity to their religious practices and myths. Celts left no written records and their beliefs passed down by word of mouth.
When Romans conquer the Celts and started the conversion to Christianity, Romans built churches on sacred Celts sites, and reduced of some Celtic Gods (there is around 300 known Gods on the Celtic Myths) to trolls and fairies.
The few Celtic people that survived the conversion, decided to put all of their myths and traditions down in writing, the oldest of the writings, comes from the Medieval times of Ireland, but the most well know are Cath Maige Tuireadh (Battle of Mag Tuireada) and Lebor Cabala Erenn (Book of Invasions).
Romans destroyed most of the Celtic writings, and forbid the druids to record verses that had any religious significance, but even thanks to all the Roman's efforts, we know some interesting facts about Celtic myths.
For example, animals were revered in myths, thanks to their speed, fertility and strength. Also that the soul reside on the head, this is why in most Celtic myths, decapitation was a common feature.
The leader of the Pantheon was Dagda, all male humans and Gods were based on him. Another interesting thing was that Celtics believed that the Sun was the most important phenomenon, and that there were Gods for every aspect of nature.
Finally, there are records of four main festivities in Celtic religion but were modified during the Christianity conversion: