I mean, it seems a natural, yet, they went from paganism to Islam even as Christianity was "available" to them.
I am guessing but “in the first three or four centuries after Christ”, the survival of Christianity anywhere was problematic.
In the first 3 centuries, Christianity spread a lot in the East. The Persians under the Sassanids were tolerant and Christian proselytisation under the Ancient Church of the East (the Assyrian Church) spread, with the Holy Eucharist being celebrated under the auspices of the Catholicos of Ctesiphon (the erstwhile Persian capital which is now in Iraq) and them sending missionaries to India and to Mongolia (incidently a few Mongol tribes, including the one Genghis Khan married into were Christian -- the Naiman tribe. The descendents of this tribe are one of the Kazakh tribes now) and elsewhere
By the 9th century there were more adherents to the Catholicos of the Assyrian Church than to the other 5 Patriarchs, fully 1/3rd of all Christians
But in the 4th century the Roman Empire first legalised Christianity in 313 (first by Constantine's co-emperor, second by Constantine) and it was made the state religion in 378 by Emperor Theodosius
The latter Emperor even urged the Persian Shahenshah to take up Christianity. This made the Persians see Christians as a fourth column in their empire and persecutions started
it was also exacerbated by Christian bishops who tore down Zoroastrian agiaries (fire-temples)
Anyway, Christianity then spread past Persia central into Khorestan and other far-flung parts of the Empire, into what is now Afghanistan and Tajikistan
Then the Arabs conquered the Persians and for 300 years Christians were left more or less in peace as Arabs initially didn't proselytize
The tragedy of the Church of the East started with first the conversion of the Turkic peoples to Islam and ended with Timur-e-lang (incidently the elder Tsarnaev brother's name was Timur) -- Timur waged a genocidal war against Christians and against Persians. He killed the most people % wise -- killing off 5 to 7% of the world's population, far more, percentage wise than Hitler-Stalin combined.
He nearly eradicated the Georgians and he eliminated the Church of the East, burning thousands of Churches, Christians etc.
His favorite was to make a pyramid of skulls...