As far as I know, you actually is the formal, originally plural version (ye/you/your) and thou was the informal version (thou/thee/thy/thine). Over time, thou became impolitely informal and is now no longer used, though interestingly enough, nowadays it might even be perceived as more formal than you because it's archaic and survives almost exclusively in liturgical language.

> However, since it seems that "thee" and "thou" are the informal forms of "you", now I'm really confused why they do this.

Unnecessary reverence of the King James Bible translation, probably.

In Old English "thou" is singular, "you" is plural.

As noted in Wikipedia:

> As William Tyndale translated the Bible into English in the early 16th century, he preserved the singular and plural distinctions that he found in his Hebrew and Greek originals. He used thou for the singular and ye for the plural regardless of the relative status of the speaker and the addressee. Tyndale's usage was standard for the period and mirrored that found in the earlier Wycliffe's Bible and the later King James Bible.

Later, presumably due to French influence, "thou" became informal and "you" formal.

Finally "thou" was dropped from everyday speech, though it still shows up in various old phrases.

In ancient Hebrew and ancient Greek, there was no T/V distinction, so their equivalent of "thou" was never considered informal. Some Early Modern translators of the bible tried to preserve the thou/you distinction as it existed in ancient Hebrew and ancient Greek, while deliberately ignoring how it worked in the languages they were translating into. This then influenced the language of prayer.

Another pattern is that religious language tends to be archaic. For example, Jews pray in ancient Hebrew, Muslims in classical Arabic, some Catholics in classical Latin, and so on. I don't know whether this is done to create a sense of awe and mystery, or because religions try to appear unchanging.