The Chi Rho is one of the earliest symbols for the Christian religion.
It is formed by superimposing the first two letters of the word “Christ” in Greek, chi = ch and rho = r. Although not technically a cross, the Chi Rho invokes the crucifixion of Jesus as well as symbolizing his status as the Christ.
The Greek letter Chi looks like what we call an X, So Xmas is an effective abbreviation for Christmas, and we wouldn’t lower-case Christ or Christmas, so it’s capitalized. Here’s a little more on the etymology of Xmas.
Ironically, there are those who say that the rampant use of “Xmas” is a way to “take the Christ out of Christmas.” It is apparent that they haven’t looked very close at their own religion’s history. ;)