sandman
I'm pretty certain gods in Sandman work like in American Gods or Discworld, i.e., they're created by people believing in them (and die when people stop believing). See for instance Bast, who's surviving on a handful of old believers, if I recall correctly.
(That said I haven't seen season 2 of the adaptation, so maybe they changed it from the books and you're referencing that..?)
I think a good number of them have it educated out of them, by growing up in an environment where empathy is actively discouraged and portrayed as a negative trait.
There's also conditional empathy, where you're taught that there are certain groups to whom empathy doesn't apply (or that empathy only applies to your group), or applies to a lesser extent (e.g., your pet dog deserves empathy — unlike the neighbours' —, but that empathy only extends to taking it behind the shed and shooting it, not to paying for a veterinarian to take care of the minor problem it's suffering from).