I can't answer your question directly, but I can point you to the existence of the Indo-Scythian dynasty, and hopefully someone more qualified could elaborate further on this. Apparently some descendants of the Scythians made their way to India, where they established a new culture hundreds of years after the original empire was conquered. I think the information on this time period is pretty sparse so perhaps there isn't much information on how this happened.

I think by the very existence of this empire you have a partial answer as to where at some of them ended up, however.

http://www.iranicaonline.org/articles/indo-scythian-dynasty-1

I am not an expert in the field, but the Scythians were a branch of the Eastern Indo-Iranian peoples , which also includes the Sarmatians , Sakas, Pashtuns and Alans. John Haywood in his 2008 book ' The Great Migrations' said that the Indo-Iranian tribes of central Asia were displaced by the Turko-Mongol migrations in a process starting over 300 BC and ended in the Alans final defeat by the Huns in 370 CE( there is still debate on whether the Huns were Turkic in the first place). Haywood argues that the Turks and Mongol people likely had more powerful bows and organisation that the Iranian nomads. Today , the closest living descendents of the Scythians , in linguistic and cultural terms , are the Ossetians in Southern Russia and the Caucasus mountains. Interestingly , another descendent of Scythian is the Yaghnobi people of Tajikistan and Central Asia ( descended from the Soghdian) . The genetics of Central Asia shows that there is a considerable mix of western Eurasian and Eastern Asian markers, which probably means that populations were absorbed and they adopted a Turkic language rather than a wholesale displacement of populations. Hopefully i helped a bit!

http://en.wikipedia.org/wiki/Ossetian_language

Edit: Ive removed reference to the Pashtuns.

The Skythians were largely driven off the steppes or absorbed by other peoples during the large-scale migrations that took place in central Asia. Steppe nomads frequently moved around with their herds, and events such as war or drought could lead to long-distance migrations by large populations as they looked for new places to graze.

The Skythians along the southern steppe had settled down at least partially by the 4th-3rd centuries BCE, and he Sarmatians (a specific Skythian group) migrated out of central Asia to dominate the Pontic Steppe. Because of the dominance of the Sarmatians, most sources I've read refer to later Skythian peoples as Sarmatians, reserving the name Skythian for earlier peoples.

In central Asia itself, the picture is a little fuzzier due to fewer souces or contradicting sources. However, nomads from the Tarim Basin, who were also Indo-European and possibly also Iranic-speaking came to dominate. Look up the Tocharians and Yuezhi for information there.

Eventually, other, non-Indo-European peoples migrated westward and displaced Iranic steppe nomads. First the HUns, then various Turkic groups. The Skythian peoples mostly found themselves pushed to migrate off the steppe or integrated into the new societies of the Huns and Turks.

Those who had migrated off the steppe joined up with Germanic groups who were moving across Europe in the Migration Period, and eventually settled with them and were absorbed into their culture. Some of the Skythians, a subgroup of the Alans, settled the Caucasus Mountains. There they retained their culture and language, but eventually adopted the Orthodox Christianity of the Byzantines. Those people are still around as the Ossetians, who you may remember as the people who's territory Georgia and Russia fought over in 2008.

Sorry if this answer is a little rushed, my mom is calling, but I have sources I can go back and check if anything here is off.

I'm not a historian, but from what modern genetics showed, the Scythians ( males )predominantly belonged the haplogroup R1a, which is the most common haplogroup even today in the areas where they moved.

For example, this haplogroup is predominant among Russians, Ukrainians, but subclades are also common among peoples like Turkic Kyrgyz, Iranian Pashtuns, and among higher castes in India.