Scythians, Zoroastrians, etc.

I think I noticed in another thread that the Scythians were not
Zoroastrians. But they were members of the (Indo)Iranian language
family?

Is there any evidence how many early Iranian-speaking groups there
might have been? Would they all have originally been Zoroastrian? Is
there any evidence where they were originally located? Is there any
idea what caused them to splinter and then spread so widely over
Central Asia?