Modern India: After the fall of Maurya Empire, Pushyamitra Shunga had established his rule in the north. Religions: Hinduism, Buddhism, Jainism, and various Tribes.
Modern Pakistan and Afghanistan: The Indo-Scythians ruled the Gandhar provience. They are called Shaka in the Indian literature like Puran. They were followers of Buddhism. Religions: Hinduism and Buddhism.
Persia: Parthian Empire flourised. Religions: Zoroastrianism, Hinduism, and Buddhism.