While by no means an exact fit it's interesting to consider Wittgenstein's Remarks on Frazer's Golden Bough, where as well as discussing Frazer and his work, he also talks about William James, magic, ritual, ceremony, and religion and the study of it (free open access copy of the text here).
On Jung, have you encountered The Red Book? It records his journey after the break with Freud, in far more an open observational introspection towards his own encroaching mental illness or distress, rather than assembling or imposing a prefigured theory. Personally, I think Wittgenstein would have had a lot of time for that, because it mirrors the conduct of his inquiries in philosophy - a deep openness towards uncertainty and dissatisfaction, without settling for verities that comforted others enough to end their questioning.