Did any ancient polytheistic religion hold that theirs was the only pantheon?

Religions don't believe in anything. It is people that believe or do not.

The adherents of the Greek and Roman pantheons simply acknowledged the other pantheon by looking for correspondances: Jupiter was the Roman interpretation of Zeus whilst Juno, the wife of Jupiter was the Roman interpretation of Hera, the wife of Zeus.

Given these correspondances would have only made the belief of the believers even stronger as another people would seem to believe in the same pantheon.

Well, in India, this argument is used to show that polytheistic religions are 'better' than 'Abrahamic' religions. It is one of the main right wing planks targeted at my people; so let me present a slightly contrarian view compared to the other answers

Religious iconoclasm was very much a part of pre-Christian cultures eg. Roman destruction of the Jewish Temple, the destruction surrounding the 2nd Punic war etc. At some point, it is not particularly possible to separate religion and secular culture into distinct baskets. Take for example, one of the principal arguments that the Chinese government uses for the takeover/retaking/conquest/occupation of Tibet, that the Dalai Lama was running a theocratic serfdom which had to be ended. The Tibetans may see it as integral to their religious identity, but the Chinese don't see it that way. Do events of that kind get classified under religious iconoclasm or secular political disputes?

In South Asia, Hindu-Buddhist relations are in many respects, as antagonistic as Hindu-Muslim relations, and in fact much more antagonistic than Buddhist-Christian relations. Anyone with a passing understanding of Myanmar and Sri-Lanka can easily see this. In Sri-Lanka, the Sinhalese national narrative is fundamentally built on the historical defense of Buddhist society against Tamil Hindu kings and is replete with tales of destroyed Buddhist temples and the trauma around it. Even in India, there has been genocidal levels of violence between Jains, Buddhists and Hindus.

I would also claim that Christian exclusivism is vastly over-hyped. I would definitely agree that such ideas are more a part of Christianity, than say, Japanese Shinto or Chinese Taoism. But the Christian social and political code is still predominantly Greco-Roman and not Jewish. I mean, why does say Nepal trust the UK more than their co-religionists in India. Are they incapable of realizing that the exclusivism of Christianity would make any nation with a Christian culture fundamentally antagonistic towards pagan societies? Well, it seems that is not their historical experience. In a practical setting, Christian societies don't derive their social behavior from theological ideas of exclusivity.

Even in a theological sense, exclusivity was never a big part of Christian belief system. In a mainline protestant setting, I have never heard a single sermon about one god, or why monotheism is better than polytheism. In fact, the main reason Christ was killed was because he went against the strict exclusivity of the time. Evangelicals generally seem bigger than they are because America has such a global cultural presence, but in terms of numbers, they are not really that many.

Polytheistic pantheons do not appear fully formed out of nowhere, like Athena out of Zeus's head.

Every settlement had its own local deity, and neighbors had to trade, so they had to avoid religious strife, so they had to reconcile their local deities. The easiest way to do that is to agree that your god is (say) a brother of mine. And thus a pantheon is built up.

Followers of a polytheistic pantheon would be willing to accommodate another deity into their "godly family" as long as it carries a political/economic benefit (alliance or trade).

However, meeting an alternative pantheon (as opposed to an individual god) would imply meeting a completely different culture (like Greeks vs Persians) and reconciling pantheons could be too much work for no benefit (as alliance is not an option).

OTOH, since the forces being worshipped are universal (fertility, planets, sky, wind, earth &c), "gluing" the pantheons (e.g., "Isis" == "Aphrodite") is usually possible instead.

Cf Did Greeks and Romans tolerate those who only worshipped some of their gods?

however in polytheistic religions there is no assertion that there is one god.

True. That's one of the major differences between mono- and polytheistic religions.

I live in Thailand. Once I visited Wat Hua Lamphong, close to the (former) railway station. To my surprise, I saw statues of Jesus, Joseph and Mary. The temple also has many statues of Hindu deities as well as statues of kings Rama V and IX. They are treated with exactly the same deference. People pray in front of them, light incense, make donations.

My home is very close to the Erawan shrine. This is a shrine dedicated to the Hindu god Brahma. Not to Buddha, as you might expect, but to a specific Hindu god.

I've been in many smaller local temples, you often see statues of Chinese or Hindu deities. Polytheistic religions have no problems with that. But by default, that is impossible in any monotheistic religion. Even the concept is difficult to comprehend (hence the question).

That is current, today. Not something people did in the past.

I understand - coming from a monotheistic religion - some people find it weird or difficult to understand. In a monotheistic religion, there is only one god. Therefore, all other gods are not real gods.

Polytheistic religions do not have this problem. Any god is a god. They have no problem 'integrating the competition' in a temple. For monotheists, Brahma and Buddha are not real gods. For Hindus and Buddhists, Christian deities are just as much gods as their own deities.

The same applies to the present and to the past.

The polytheists did not regard "pantheons" as schematically as we see them in mythology books.

There were some general approaches in polytheist religions when you encountered people with different gods and practices:

• Ignore it all. You continue to practice the rites of your ancestors, your neighbor continues to practice the rites of his ancestors, all is well.
• Identify your neighbor's god as one of yours. This happened so thoroughly with the Greeks and Romans that we now regard them as one god with two names, despite discrepancies, but it was more widespread. For instance, Hermes was identified not only with Mercury but with the Egyptian Thoth and the Germanic Woden. Gods in inscriptions often have long lists of names.
• Adopt the worship of a particular god. Apollo was adopted by the Romans, perhaps because they had no god to identify him with.

It is hard to tell any pattern, particularly with the evidence as sparse as it is.

Paganism in the Roman Empire by Ramsay MacMullen is good on this.