The cultural policy of the Parthians was, until the start of the Common Era, hellenophile. In addition to the Parthian language of Arcasid Pahlavi, Greek and Aramaic remained in use. In the realm of religion, Greco-Roman deities were popular with the ruling family, until a nationalistic resistance movement from the Persian heartland led to a revival of the old Iranian beliefs of Zoroastrianism and Mithraism. The Parthians then fostered the building of fire temples and began to collect the the Zoroastrian traditions that were later codified in the Avesta.
While the spread of Zoroastrianism was confined to the Parthian-Iranian cultural sphere, the cult of the ancient Indo-Iranian god Mithra, widespread in Iran, crossed the cultural boundary of the Euphrates and won over so many followers in the Roman Empire that in the second and third centuries it was one of the chief rivals of early Christianity. Mithra was the chief deity of the pre-Zoroastrian Iranian pantheon. He was worshiped as the god of justice and the patron of treaties. In Zoroastrianism, he supported Ahura Mazda in his battle against evil. In the Hellenistic context he was identified with the sun god Helios, and in Roman belief with Sol Invictus, which made him the favourite god of the army. The goal of the Mithra mysteries, widely popular in the Roman Empire, was to free the soul, which had been born in heaven, from the constraints of the body and to return it, via the seven cosmic spheres, to its origin. On the whole, a spirit of religious tolerance predominated among the Parthians, which helped enable the rapid spread of Christianity.Baumer, The Church of the East, pp. 10-11
It’s interesting to note that for the first several centuries of Christianity, Christians experienced greater toleration in the Parthian East than in the Roman West. This situation would dramatically reverse in the 300s.