When Henry VIII died did religion in the country change?

Yes. Henry VIII had made himself head of the church in England instead of the Pope by enacting the Act of Supremacy. His daughter Mary, who became Queen when his son Edward VI died young, annulled the act and restored the Pope as head of the church in England. She also had some 300 people burnt for heresy for not accepting the Pope as head of the church. When Mary died her step-sister Elizabeth became Queen and re-enacted the Act of Supremacy. The Protestant movement, which had started in Germany, now arrived in England and the Church of England became more Protestant. This meant different masses, services in English, no special position for the Virgin Mary and eventually a new English Bible.