There is a difference between a Pagan and a Heathen. A Heathen is anyone of a different religion than yours. Christians, Jews, Muslims, Buddhists, Hindus, and the rest all can consider each other as heathen. A Pagan is someone who practices an ancient European nature religion, one that predates Christianity. When the Romans arrived in Northern Europe, they did not (for the most part) evangelize Europe to their own ancient religion. Instead they brought Christianity.
The core belief of the ancient religions of India, Greece, Asia, Africa, and Europe was a belief in masculine and feminine deities. These gods were often capacious even cruel in nature. From the Hebrew and Christian perspective, this represents a degeneration from a once world-wide belief in a single beneficent Creator who mankind had abandoned. From an anthropological perspective, just the opposite is proposed. Religious development is seen as arising out of simple animism to multiple local gods and goddesses, to systems of deities controlling various aspects of the natural world, and finally to the belief in a single transcendent Deity, a Spirit Being who does not need a consort, and who does not have a gender.