It's.. complicated.

In short, we really didn't. Rather, segments of the European Romani population adopted aspects of Christianity and intertwined them with traditional belief systems. Some European nations forced various Christian tenets onto their Romani populations, which over time became part of Romani cultural norms. This mostly occurred during the 18th and 19th centuries with some European rulers being more forceful than others.

Many European Romani communities are Christian in name only, meaning that they declare themselves to be Christian on formal surveys and in census data, but in actual practice their theology combines Vedic traditions with aspects of Christianity. The same is true when looking at Muslim Romani communities in the Balkan & Caucasus mountain regions, and Turkey. Rarely do Romani people wholly practice the dominant religion of our host countries. We have mostly managed to practice our own traditional belief systems behind a veil of Christianity and Islam.

If you are considering the surge in Evangelical Christian communities, that started after the fall of communism in Eastern Europe, and followed a timeline similar to Evangelical resurgence in non-Romani communities of countries that were not part of the former communist bloc. Many such conversions, however, were exploitative in the sense that Evangelical ministries from the US targeted impoverished & poorly educated Romani communities in Eastern Europe. Many of these communities continue to lag behind their non-Evangelical counterparts in terms of education, youth marriage, and employment.

It's a complicated answer, but tl;dr Christianization of European Romani communities largely began in the 18th century, but had less of an impact on traditional Romani belief systems than the more recent Evangelical resurgence, which began in the 1970s in W. Europe & US, and after the fall of communism in E. Europe.