"Lahey, I live in a tent!"
Philosophically Mr. Peterson comes from materialism, he doesn't believe in God----so when he does think about God (the non-local hidden Person Who made everything) what does he think of? He thinks of ethics; morals. It's because being a materialist he 'gravitates' to the 'salient' things about religion as regards materialism, which basically means, physical, visible, observable things. Not the 'theory' or 'theology' of the thing, but what's obvious and apparent and patent; 'prima facie'.
2000 years ago being a materialist Mr. Peterson would have gravitated not to the ethics of religion but to the 'idolatry' of it; the offering of sacrifices on altars to deities or gods. Since Christians (with arguably some assistance from Muhammadans) have basically extinguished the offering of sacrifices on altars to deities (except for Christians themselves, who do practice the offering of sacrifices on altars to their own deity), Mr. Peterson today gravitates to ethics instead of idolatry, because that's the next materialistic 'layer of the onion' in religion (the 'top layer', idolatry, being 'removed' by Christians).
So morals and or ethics is Mr. Peterson's 'door' to God, coming as he is from materialism. He's safe and confident with materialistic theory so if he can 'wade' into religion through this 'door' then he's going to be more comfortable in his quest.
Yes he does cry in this video, so no surprises.