Littlefinger is a master manipulator. I could certainly see how he might have fed information about the Lannisters to the High Sparrow so that he had his devout followers would aid in taking down the Lannisters. But I don't think he's working with the High Sparrow directly. Especially since the followers of the High Sparrow wound up taking down some of Littlefinger's houses of ill repute in Kings Landing. It may have just been some measure of token offering to the High Sparrow's followers. A sacrifice perhaps, while Littlefinger consolidates his power in the Vale as Warden of the East.