Playing as the Protestants, it's worth remembering that historically, they were indeed badly outmatched until Sweden entered the war, which only happened 12 years after it had started. The game reflects this. The Catholics just outnumber and outspend you, and start the game with the rockstar general Tilly, later joined by Wallenstein who not only has Tilly's skill level but also the ability to conjure mercenary doomstacks out of thin air.
You're in it for the long haul. Resist and counterattack when you can, don't feel bad about retreating or even just stalling, there's plenty more states lined up to join your side as the game progresses.
I'm currently playing a Protestant GC. When Tilly got besieging Prague, I had my main field army under Manstein in Pilsen. I was hoping the siege would drag on and Tilly end up being weakened by attrition so the field would be leveled a bit and I could counterattack. That didn't happen though, Prague fell, so I marched my army across Bavaria to Baden, which had recently joined the Protestant cause. Some time later when Tilly came for me my combined Badenian-Bohemian army managed to get him trapped inside a city he was taking shelter in (that lone Catholic city among the line of 4 cities in Baden on the western edge of Germany, don't remember the name), entrenching outside and repelling his breakout attempts and playing supply chicken with him until his stack surrendered. Vengeance is mine! I hope Tilly is now locked up in a tiny dungeon and won't be leading any more armies against me, but I'm not counting on it.