I’ve written about this question here with regards to the Shāhnāmeh in general, and here with particular reference to the Achaemenids and Medes. Just to expand a little on these previous answers:

It’s worth noting, to begin with, that Ferdowsi and his contemporaries did not make the same distinctions between history, myth, and legend that we are accustomed to today. That's not to say that there wasn't extensive debate throughout the Islamicate world on the truth value of various stories, the reality of particular fantastical beings or events, and the correspondence between figures mentioned in Iranian sources and those known from Semitic (principally Biblical and Qur’anic) texts. Euhemerism--the explanation of marvelous mythological stories in mundane, “rationalistic” terms--was alive and well. One of the best examples is the assertion by the great historian al-Tabarī (d. 923 CE/310 AH) that the brain-eating snakes erupting from the shoulders of the monstrous king Zahhāk were in fact cancerous tumors, which he salved with a poultice of brains. But this kind of discourse shouldn’t be confused with the strict divisions we make today between different categories of narration about the past. All of which is just to say that the nature of the evidence is not really set up to answer these kinds of questions, and all attempts to analyze the Shāhnāmeh along such lines are, ultimately, pulling the text in directions it isn’t really meant to go. With that caveat:

By “mythical,” I assume you mean all the monarchs before Dārāb and Dārā, who precede Eskandar (Alexander the Great) and are widely considered to represent Achaemenid monarchs named Darius (Dārayavauš). Dārā in particular corresponds to Darius III, the last Achaemenid ruler. Sometimes, in reference to the Shāhnāmeh, “mythical” refers particularly to the Pishdādi kings, the primordial dynasty preceding the “legendary” Kayāni. The Pishdādi are generally thought to derive from Zoroastrian mythology, incorporating a range of cosmological figures and culture heroes. While there have been attempts to link them to historical figures, searches for “historical” truth in the Shāhnāmeh have generally focused on the Kayāni.

In particular, there is a long-standing interest in associating these figures with the famous Iranian kings known from outside sources (principally Greek). Cyrus (Kurosh) specifically has been sought in the Shāhnāmeh’s account of Kay Khosrow--I discuss this more in the second answer linked above. Since Cyrus also plays an important role in Hebrew sources, medieval Islamic historians were interested in fitting him into legendary Iranian chronologies. I’ve recently come across a reference in Hamza al-Isfahani (d. mid-10th century CE) equating Kurosh with Kay Bahman. Bahman is a sort of “hinge” figure between the earlier Kayānids and the semi-historical Dārāb and Dārā, so he has also attracted a range of theories linking him to historical rulers, including Artaxerxes I (see more in the Iranica article here.)

An additional debate, which I discuss in the first answer linked above, has focused on Lohrāsp and Goshtāsp. As rulers during the advent of Zoroastrianism, they are often assumed to have a historical basis in early royal patrons of Zoroaster’s message. However, the issues of if and when the historical Zoroaster lived are themselves quite vexed; /u/lcnielsen has covered this topic well a few times on AskHistorians, such as here and here.

Please let me know if you have any additional questions beyond what I cover here and in my previous answers! This is a large and fascinating topic.