Are they real? Like I thought I remembered them being proven real by knights of the nine or something but I can't remember. I know that you never really see any of them (I think) and if so then they probably don't want us to see the divines because it adds more mystery like with the akaviri, ayleid, dwemer etc

They are real, that much is proven in several different places. Akatosh is definitely real as proven at the end of the Oblivion MQ, you speak to avatars of Talos several different times throughout the games, most notably Wulf in Morrowind. Trinimac being turned into Malacath altered all of the Altmer who closely followed him into the Orsimer. Lorkhan's heart existing under Red Mountain is pretty good proof that Convention happened, etc. etc.

To add on to that, every pantheon you find in the game is also real, even if they conflict. Reality in the TES series is... fluid, at least for divine figures.