The mythology of ancient Persia originally developed in the region known as Greater Iran (the Caucasus, Central Asia, South Asia, and West Asia). The Persians were initially part of a migratory people who referred to themselves as Aryan, meaning “noble” or “free” and having nothing to do with race.
One branch of these Aryans settled in and around the region now known as Iran (originally known as Ariana – “the land of the Aryans”) prior to the 3rd millennium BCE and are referred to as Indo-Iranians; another branch settled in the Indus Valley and are known as Indo-Aryans.
Since both of these originated from roughly the same environment and culture, they shared a common religious belief system, which would develop in time as the Vedic lore and Hinduism of India and the Early Iranian Religion and Zoroastrianism of Persia, all of which share key concepts and types of supernatural beings. Belief in such beings and their stories – designated in the modern-day as 'mythology' – was simply their sincere religious system, as valid to them as any religion is to an adherent in the present. This so-called 'mythology', in fact, would go on to inform Zoroastrianism which, in turn, would influence the development of Judaism, Christianity, and Islam.