Three layers of evidence exist for Baltic religion and none of them is disinterested.
The first is the chronicles of the crusade, the Chronicon terrae Prussiae of Peter of Dusburg foremost among them. They were written by the Teutonic Order and its associates to justify a war of conquest fought as a mission, and a pagan religion with priests and sanctuaries is exactly what such a text needs to describe.
The second is the visitation and confession records of the Jesuit and Lutheran churches from the sixteenth century onward, produced as clergy investigated what their nominally Christian parishioners were still doing. These are unusually valuable, because they record specific practices at specific farms rather than a general account, and because they were compiled by people who wanted to know accurately what they were suppressing. They also list god names that appear nowhere else, some of which may be misunderstandings of local usage.
The third is folk song, above all the Latvian dainas, of which hundreds of thousands were collected in the nineteenth century. They are formulaic, deeply archaic in places, and full of the sun, the moon, the thunder and the god of the sky, and they were also collected during a national awakening that had reasons to find an ancient religion in them.
Archaeology and place names supply the check, and it is the layer most likely to yield something new.