The Ancient Greek understanding of the afterlife was that people want to one of three places: a place of torment, a place of paradise, and a place somewhere in-between the two. The best example I can think of purgatory, in the history of religions, comes from Ancient Greece. What Are Examples of Purgatory in Other Religions?
But we do know that those who believe in purgatory advise others to avoid it and that the saints still living here on earth can help guide people on their journeys in purgatory through prayers and indulgences.