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I've seen it hinted in some places the Pechenegs were at some point Manicheans, often contrasting against the Bogomils in the Balkans, Paulicians in Armenia and other Manicheans in Central Asia, notably the Uyghurs.
Is there any source for this claim? Or is it one of those situations historians used refer to people by what they think is an analogue, like calling Pechenegs 'Scythians', for example, common among medieval historians.
There are very few sources on Pechenegs, and they do not tell us the details of their religious situation. By analogy with other tribes which inhabited this area in the Middle Age, one can guess that they had a variety of religious beliefs. Some of them could be Manichean, others Christian, Muslims or pagan. It was normal for that times and that place to have diverse religions within one "state" or tribe union. Contemporary Khazars and later Mongols and Cumans had variety of religions. But the best guess would be that most of them were pagans. (Because religious intolerance and unification is a feature of monotheistic religions. It usually begins with conversion of the rulers to Islam or Christianity. And for Pechenegs we do not read this in surviving sources. Russian sources call them pagans.)
I'd also like to know what the sources for that claim are (since you're the one who has seen them.).
It does pass the smell test. Manichaeism was on the decline after about 840, but there were still adherents that we know of in China as late as the 14th century, and it was known to have had adherents among Turkish-speakers, and also in other peoples in central Asia during its heyday.
The Pechenegs likely moved west from Central Asia sometime between 790 and 850. So it is certainly possible many of them were Manichaeist, and perhaps even likely at least a few of them were.
Alex is right that there are any number of possibilities other than that though. Another likely religion would have been Tengrism. That appears to have been the dominant religion of their fellow Western Turks, the Khasars and the Hungarians*, at that time. As the original religion of the Turkic and Mongolian peoples, this would be my first guess for the religion of any nomadic Turkish groups of that period, in the absence of any historical references saying otherwise.
* - Hungarians are lingusticly and geneticly not at all Turkish, but oddly their culture at the time was otherwise almost entirely Turkish.
From "The Cambridge History of Inner Asia" (Cambridge, 1990), p.275
According to al-Bakri (d. 1094), the Pechenegs up to the year 400/1009-10, were followers of "the religion of the Magi." This statement may indicate some Zoroastrian or Manichaean influences. It may also refer to a shamanistic cult. After that period, according to our sources, Islam began to make some headway amongst them (f.n.)
Footnote: A. Kunik, V. Rozen, Izvestija al-Bekri i drugikh avtorov o Rusi i slavjanakh, pts. 1-2 (pt. 1, Supplement to the Zapiski Imperatorskot Akademii Nauk, xxxii, 1878), p. 43.
Islamic perspective (reference), from "The Encyclopedia of Islam", (Cambridge, 1954), p.1018:
Officially, they (referring to another Hungarian group) called themselves Christians and they disguised their Islam, in contrast to the Maghariba/Pechenegs*, who overtly professed the Muslim faith ...
*Maghariba (Arabic: المغاربة al-Maghāribah, meaning "Westerners").
They are often referred to as "Maghariba" in Islamic texts of the time, which makes it difficult for Latin (Western) scholars to know whom exactly these "Westerners" were. The problem has persisted to present-day research.
