Deities & Demigods (or even a Gods, Demi-Gods & Heroes for that matter,) there were books like Bulfinch's Mythology and Hindu Mythology, Vedic and Puranic by W.J. Wilkins, both of which were originally being published during the same general period that William Morris laid the groundwork for JRRT. And then there's the Poetic Edda.
The Poetic Edda is a collection of Old Norse poems that is THE resource when it comes to Norse mythology and Germanic heroes. The first recorded versions date back to ca. 1220, but today we're concerning ourselves with the 1895 Danish edition by Karl Gjellerup, with illustrations by Lorenz Frølich, a Danish painter/illustrator/etcher. Ironically, I find some stylistic similarities (though only marginally so) between Frølich's drawings (from the 1895 edition) and Jeff Dee's Norse illustrations from Deities & Demigods.
Of the images here, I particularly dig the dwarves for some reason. Anyway... enjoy.