One reason we believe there's only one God is because it's simply more logical. For example, how could thousands of gods and goddesses -- each with only limited power and authority -- ever create something as complicated and awe-inspiring as the universe? The answer is, they couldn't.
But the main reason we know there's only one God is because He has revealed this great truth to us. We aren't left to guess what God is like, or to try to create Him out of our imaginations -- because God has shown us what He is like. He has shown us that He alone is God, and that there are no other gods or goddesses besides Him. As the Bible says, "Before me no god was formed, nor will there be one after me.... and apart from me there is no savior" (Isaiah 43:10-11).
When the ancient Israelites were about to enter the land that God had promised them, He repeatedly warned that they would be surrounded by nations that worshipped many gods. But they weren't to be influenced by them or misled by them. Instead, they must worship God alone, for He alone is the one true God: "Hear, O Israel: The Lord our God, the Lord is one" (Deuteronomy 6:4).
Be a friend to your new neighbors, and do all you can to make them feel welcome. Pray for them also, and ask God to help you be an example to them of Christ's love and mercy -- and also of His power to save.