The Mi-go previously worshipped the beings Yog-Sothoth, Nyarlathotep, and Shub-Niggurath, among others, although in newer works it is acknowledged that the Mi-go are at war with the Elder Gods. Their moral system is completely alien, making them seem highly malicious from a human perspective.
Hastur apparently despises the Mi-go. His cult, servants of "Him Who Is Not to be Named", are dedicated to hunting them down and exterminating the fungoid threat. However, in the original story a human ally of the Mi-go mentions "Him Who is not to be Named" in the list of honored entities along with Nyarlathotep and Shub-Niggurath.