Concept:
The Besnagar Pillar is also known as the Heliodorus Pillar.
It is an important monument connected with the worship of Vasudeva.
Step 1: Identify the Besnagar Pillar.
The Besnagar Pillar is located near Vidisha in Madhya Pradesh.
It was erected by Heliodorus, a Greek ambassador.
Step 2: Connect it with religion.
The inscription on the pillar refers to Heliodorus as a devotee of Vasudeva.
The worship of Vasudeva is connected with Bhagavatism.
Step 3: Final conclusion.
Therefore, the religion associated with the Besnagar Pillar is:
\[
\boxed{\text{Bhagavatism}}
\]