During the last decade, social media has gained significant popularity as a medium for individuals to express their views on various topics. However, some individuals also exploit the social media platforms to spread hatred through their comments and posts, some of which target individuals, communities or religions. Given the deep emotional connections people have to their religious beliefs, this form of hate speech can be divisive and harmful, and may result in issues of mental health as social disorder. Therefore, there is a need of algorithmic approaches for the automatic detection of instances of hate speech. Most of the existing studies in this area focus on social media content in English, and as a result several low-resource languages lack computational resources for the task. This study attempts to address this research gap by providing a high-quality annotated dataset designed specifically for identifying hate speech against religions in the Hindi-English code-mixed language. This dataset “Targeted Hate Speech Against Religion” (THAR)) consists of 11,549 comments and has been annotated by five independent annotators. It comprises two subtasks: (i) Subtask-1 (Binary classification), (ii) Subtask-2 (multi-class classification). To ensure the quality of annotation, the Fleiss Kappa measure has been employed. The suitability of the dataset is then further explored by applying different standard deep learning, and transformer-based models. The transformer-based model, namely Multilingual Representations for Indian Languages (MuRIL), is found to outperform the other implemented models in both subtasks, achieving macro average and weighted average F1 scores of 0.78 and 0.78 for Subtask-1, and 0.65 and 0.72 for Subtask-2, respectively. The experimental results obtained not only confirm the suitability of the dataset but also advance the research towards automatic detection of hate speech, particularly in the low-resource Hindi-English code-mixed language.