The setting I run, a soul is created when the child takes its first breath. Because the soul is a reflection of the mind, it's really a malleable thing, full of potential.
It goes wherever it wants. Becomes whatever it wants. It had very little concept of a life, so it doesn't viciously and maliciously seek vengeance on the living like mature deceased souls do. Often, they wander between realms and just end up in places. There are benevolent deities that send minor celestials to pick up these spirits and deliver them to safer destinations, or follow them around and make sure they don't get into too much trouble.
Maybe they grow up to be angels. Or devils. Or fey. Who knows? No one's ever really definitively found out. The gods don't take a particularly active role in this setting. They barely talk to their own clerics. They've had to take a more subtle approach, since the Cataclysm.