Boethia, Azura and Mephala, through the prophet Veloth, taught the Chimer how to be different from the Altmer/Aldmer and other things (Mephala taught the art of secret murder etc). He led them to Morrowind where they worshiped these Daedra and made the transition into the Chimer Elven race. The above Daedra make up the 'good' daedra while Mehrunes Dagon etc later make up the house of troubles (the opposite of the good Daedra).
After Nerevar's (who is later revered as a Saint to the Dunmer) closest colleagues [debate-ably] betrayed him and used Kagnerac's (a Dwemer tonal architect) tools to harness the power of the Heart of Lorkhan, they turned into Demi-Gods and claimed godhood over all over Chimer. Azura saw this as blasphemous and as punishment she turned the Chimer's skin as black/grey as ash and their eyes fiery red.
These colleagues would make up the Tribunal and were worshiped in Morrowind up until around the Nervarrine (the reincarnate of Nerevar) all but took away their godhood by destroying the heart of Lorkhan and thus cutting their ties with divinity.
The Dunmer never completely converted to the eight/nine divines. With the arrival partial Imperial rule at the beginning of the 3rd era many were converted but even into the 4th era the 'good' Daedra are still widely worshiped among the Dunmer and Nerevar is still revered as a culture-god/Saint.
[disclaimer: this is a very rough explanation because I cba citing sources]