We usually capitalize proper nouns and, as far as I know, most of the names of the days of the week originate from Norse gods. As names of gods are considered proper nouns, I guess that they kept the same rule for the words which originated from them. For example, Thor - the Norse God of Thunder - became Thor's day - which became Thursday. I'm not sure about the names of months though. Maybe it's a similar reason??

Yes, it's the same reason.