A statue of Lakshmi was found in the ruins of Pompeii. Our current best guess is that it was valued as an art object, not as a religious figure, however. Roman traders definitely reached as far as India, but there's no evidence that anyone in the Roman empire practiced Hinduism or Buddhism.

Best I can find is this.

The earliest European contact with Buddhism is likely to have been around the beginning of the third century BCE, when Megasthenes, ambassador of Seleucus Nicator, Alexander the Great's successor in his eastern empire, was at the Mauryan court of Candragupta in Pātaliputra (modern Patna). Megasthenes' Greek account of Indian life does not survive in full, but it was the chief source of information about India in ancient Europe and is known from its frequent quotation by ancient authorities. Although there is clear evidence of trade between Alexandria and Rome, on the one hand, and south India and Sri Lanka, on the other, the extent of cultural exchange between the European classical world and India is unclear. For the fifteen hundred years from the time of Megasthenes down to the thirteenth century we have no real record of direct contact between Europeans and Asian Buddhists; knowledge of Indian and Chinese culture was to remain almost non-existent in Europe.

Rupert Gethin, The Foundations of Buddhism (Oxford University Press, 1998), page 273