Yes, Greco-Roman explorers made it all the way to India. The 1st century "Periplus of the Erythraean Sea" provides an important source of ancient geographic information pertaining to ports, navigation, and trade along the coast from the Red Sea and across the Indian Ocean. There is a Roman trading post at the entrance to the Persian Gulf and sunken Roman cargo has been found off the coast of southern Arabia's medieval port Al Balid.