The three most important stories written by Lovecraft to me are the Dream-Quest to Unknown Kadath, The Silver Key, and Through the Gates of the Silver Key. Lovecraft used Randolph Carter as a representative of himself in his stories. In these three books, but especially in the latter two, Lovecraft presents his opinion and view of the universe as an impassive and impartial reality that is beyond human comprehension. His stories heavily reflect upon Gnostic teachings as well as experiences that have only since been related as DMT break through experiences.
In the Silver Key, Randolph Carter relates that all religions, all politics, and all of even morality is false. The true objective reality is beyond all comprehension. The ultimate form of existence to Randolph is closest to the Taoist idea of the "Tao" which is unnamable, undefinable, and infinite beyond comprehension. Jewish Kabbalism relates a similar sentiment with what it calls the Ein Sof, which is an infinity beyond infinity and which all reality stems from.
In "Through the Gates of the Silver Key", we learn that all of reality itself is an illusion and that everything is a conscious aspect of the Unconscious Source of reality (i.e. Azathoth, the blind and idiot god who dreams the universe into existence). Yog-Sothoth reveals to him that even the gods are only facets of "the ONE" that originates from all. This again relates back to Taoism in which the Tao is the source that splits into the Yin and Yang which then splits into the rest of the universe. Internal Alchemy (which originates from Taoism) says that there are 4 levels of ascension before reaching the Magnum Opus via the philosopher's stone and relates these as the Alchemical Elements. The four Elements are Earth, Water, Air, and Fire as these represent the four states of matter (solid, liquid, gas, and plasma). Earth is at the bottom, then Water, then Air, then Fire at the top which is where Immortality i.e. enlightenment is achieved. Kabbalah divides the Tree of Life into four similar segments as well, which contains the Sefirot (shards of light, or emanations, that fall down from the Ein Sof at the creation of the world and eventually solidify in our physical and material world).
Even the Ancient Egyptians believed that all the gods and all of reality was simply an extension of the invisible and ultimate god Amun. For the Egyptians the world was divided into multiples as well. They had the Physical World of Kemet i.e. Egypt, the Duat which was the underworld that comprised of Gates, the Field of Rushes/Reeds that was the eternal paradise beyond the Duat after one went through Judgment, and the First World where the gods themselves acted in the mythologies and whatever happened to the gods there would happen to their physical eidolon (ka to the Egyptians) in the Physical World in a timeless loop. Then, beyond the First World, was Amun which all came from.
This is represented also in the Silver Key saga in the form of the four planes - the Waking World is the material and physical world of the Plane of Earth, the Dream World which is the psychic world of the Plane of Water, the First Gate which Randolph Carter encounters the Guide and Ancient Ones in and is the world of the Plane of Air, and the Ultimate Gate which is where Yog-Sothoth dwells and is the Plane of Fire. In all these philosophies, there always exist a ONE which is above all of this and that would be the Ein Sof, the Tao, invisible Amun, or the blind god Azathoth.
An underlining theme can be seen here and it seems to be the Mystery that religion is trying to reveal. Gnostic wisdom, enlightenment, nirvana, being woke; however one puts it, it is the understanding of this larger picture. This deeper meaning is relayed via parables, analogies, and stories because it is the best our human minds can comprehend. The Prophets are simply those who understand this and attempted to relay this information to us. Even Randolph Carter understood this which is why he saw the folly in the writings and myths of religion. Yog-Sothoth revealed that those born whose Archetype is the ONE have dotted the timeline and appear from time to time as Great Dreamers who reveal these truths. I believe this was his reference that the great religious leaders of our world were attempting to relay this message but only capable of doing so in the form of their language and comprehension of the cosmos at large, being bound to their angle of view of the grand Truth.
Truth is subjective because objectiveness is infinite. Carl Jung referred to our plurality and archetypes that Randolph Carter was aware of and called it the "collective unconscious" which is an entirely accurate description. We exist in all of our forms, incarnations, and archetypes in every timeline (both alive and dead) simultaneously. We only can see the angle we are currently viewing, as Carter's analogy of the infinite dimensional cone. We are both lowly mortals and archetypal deities.
In Lovecraft's works, dreamers sometimes need to use some undefined drug to help achieve viewing the Dream World and beyond. A drug does exist that helps with this and is called DMT. Those who have used the drug and had break throughs describe extremely similar experiences to what Randolph Carter described in going through the Gates. Total Ego Death occurs, or what Randolph calls the death of the Self and understanding that he doesn't exist at all. Reaching the End of the Line which is similar to going beyond into the Ultimate Gate at the end of infinity. Seeing extra-dimensional beings such as the Ancient Ones and a Central Light that acts as a gate or pathway into the beyond. A sense of union with the cosmos, seeing an infinite universe beyond the mortal realm. Meeting Ultimate Beings that are covered in eyes and beyond description that relay knowledge and enlightenment. All of this is achieved by using this drug as well. It is so powerful that it is called the Spirit Molecule as it is what is released during death and causes spiritual euphoria. The question is, does the drug simply cause the most powerful hallucination known causing spiritual illusions? Or does the drug allow our brain to no longer filter what it naturally filters out and strips away the illusion of time, space, and self?