Jean Rouch (1917-2004) was a French film maker and anthropologist whose films often focused on life in Africa.
Burial in the Cliff documents funeral ceremonies of the Dogon on Mali.
Les Tambours d'Avant is a documentary short which portrays a possession ritual in Nigeria. This version has no English intertitles, but is easily understandable without them:
The Mad Masters, another documentary short, is online in 3 parts. It is a graphic portrayal of religious ritual among the Hauka. I found this disturbing to watch as this was documentary film of an actual ceremony, and the people, believing themselves possessed by the spirits of old Western colonial powers, slaughter a dog and drink the blood from its throat. Don't say I didn't warn you.
Hippopotamus Hunt is online in 4 parts. Part 1 is here:
and you can see part 2 here, part 3 here and part 4 here.
These documentaries are fascinating!