Take a look at this topographical/political map of the area (you may need to drag Central Asia into view) http://mapsof.net/map/russia-and-central-asia-map

Notice anything? All of the countries in question, except for Tajikistan and Kyrgyzstan, have large areas of flat land (desert or steppe) with straight-line (and thus arbitrarily drawn, and modern) borders, and small areas with mountainous terrain, rivers, and complicated, curvy borders. The vast majority of the population in Central Asia lives in these river valleys, not on the steppe or in the desert. When you consider the highly-populated areas, the placement of capital cities seems a lot less 'extreme'--basically, all the cities are clustered around the sources of water. A similar question would be 'Why are most Canadian provincial capitals so close to the Southern border of the provinces in question,' and of course the answer would have to do with climate and arable land.

The exception is Dushanbe, which was basically a Soviet creation--the Soviets needed a capital for the extremely rural and primitive Tajik SSR and chose a small village based on its' location, again, at the confluence of two rivers.