Central Asia’s wide steppe is so easy to ride horses or camels over or walk over that there have always been a lot of people coming and going through Central Asia, and they bring their religious beliefs with them. So people in Central Asia believed in all kinds of different gods in all kinds of different ways.
The first people we know much about from Central Asia were the Indo-Europeans, or Yamnaya. They were living in Central Asia by at least 3000 BC. Indo-European people worshipped gods who represented things in the Central Asian environment. In that steppe of vast sky and storms, there was a sky and storm god (related to the Greek god Zeus, the Indian god Indra, the Roman god Jupiter, and the German god Tyr).
The Indo-Europeans also worshipped a god who made the grass ripen, Deva (related to the Hindu goddess Devi, the Greek goddess Demeter, the Roman Ceres, and the Zoroastrian and Christian idea of devils). Deva’s sons were twin horse gods (related to the Greek and Roman Castor and Pollux). And there was a goddess of dawn, Heus (related to the Greek hearth goddess Hestia and the Roman goddess Vesta). About 450 BC, the Greek historian Herodotus describes similar gods among the later Indo-European Scythians.
About this same time, though, Cyrus the Great converted to the West Asian religion of Zoroastrianism, and some people in Central Asia thought they might convert to Zoroastrianism too. Many people worshipped the god of justice and contracts, Mithra.
When the Zoroastrian kings exiled the Buddhists from the Parthian Empire about 150 AD, these men and women brought Buddhism north with them to Central Asia, where many people became interested in the new religion. Not much later, this same movement brought Buddhism to China. This same movement, or just the general trade along the Silk Road, may have also brought Hindu ideas to Central Asia, as shown by this figure of the Hindu god Vishnu found on the banks of the Volga river north of the Caspian Sea (modern Russia). (Check out Hindu stories that reached early Christians about the same time.)
About the same time, Christian missionaries also started to come from West Asia to Central Asia. They succeeded in getting some people, especially in Armenia, to convert to Christianity. Other people in the same area converted to Judaism about the same time.
In the 800s AD, most of the people living in the south-western part of Central Asia converted to the new religion of Islam. There were both Sunnis and Shiites in Central Asia. Many people followed the Sufi branch of Islam. But in Russia, people became Christian about the same time, while in Mongolia to the far east, most people stayed Buddhists.