The planets from Mercury to Saturn are all visible with the naked eye, and so have been known since antiquity. These were all named by the Ancient Greeks, and we have kept those names, or their Roman versions.
Uranus is also visible without a telescope, but it moves so slowly across the sky that it was mistaken for a star until William Herschel proved it was a planet in 1781. He initially planned to name it Georgium Sidus (George’s Star) after King George III, but this was unpopular outside Britain, and astronomers eventually settled on Uranus (the Greek god of the sky) to stick with the mythological theme.
Nowadays, the International Astronomical Union decides on the naming rules, but they aren’t all Greek or Roman. Dwarf planets Haumea and Makemake are Polynesian deities, for example.