Don’t all religions lead to God?  Can’t I have a relationship with God without Jesus?

No.  Jesus said “I am the way, the truth, and the life. No one comes to the Father except through Me(John 14:6).  All other religions may seem spiritual but they do not reconcile people with God which Jesus did on the cross.

“Through one man [Adam] sin entered the world, and death through sin, and thus death spread to all men (Romans 5:12).”  “Therefore, as through one man’s offense [Sin] judgment [Punishment or consequence] came to all men, resulting in condemnation [Hell], even so through one Man’s [Jesus] righteous act [Death on the cross] the free gift [Salvation or eternal life] came to all men [believers], resulting in justification of life (Romans 5:18).”