If by Dharmic you mean Hinduism, the thing to keep in mind is that the Indo-Iranian group were a branch of the Indo-Europeans who migrated into India and Iran. So although Hinduism itself was not a feature or Iranian culture, both Iranian and Indian religious practices came from the same root source.

For example, the Vedic god Mitra and the Iranian god Mithra are same:

http://www.iranicaonline.org/articles/mithra-i

Likewise the Hindu Deva and the Iranian Daevas are also derived from the same origin:

http://www.iranicaonline.org/articles/daiva-old-iranian-noun

So whilst the Iranian peoples did not follow any Dharmic religions, their own religious practices presented an alternative evolution.