Gods do not level up through traditional combat training.
Once caught, a god is frozen in the state it was captured.
To allow a god to grow stronger, you must defeat it and then allow it to retreat. As you progress and return later, the entire zone tied to that god will have leveled up. Enemies become stronger. Encounters become more dangerous. The god itself returns with new abilities and a new physical form.
Each iteration makes the world more challenging.
When you encounter a god again, you can choose to capture it or let it go. If you capture it, you can use it in combat or trade it to the god you currently follow. Doing so grants rewards such as skill tree upgrades, unique souls, and other progression paths that cannot be accessed any other way.
Power always comes with tradeoffs.