I know the Romans tended to treat the Norse Gods as if they were, to the point that they use to call Odin Mercury when ever they wrote about northern religions
Linguistically, Aesir has the same roots as A(h)sura, and Zeus has the same roots as D(a)evas, which are both present together in Hindu and Zoroastrian mythology. So they are minimally related via Proto-Indo-European etymology.
A few months ago I asked a similar question, and u/Discux posted a very helpful response.
https://www.reddit.com/r/AskHistorians/comments/48oncf/why_are_there_commonalities_between_european/
The short version is that European pagan religions probably derived from a common Proto-Indo-European ancestor.