Great question!
Christians may have been present in Danakil and Somaliland regions along the Red Sea/Gulf of Aden coast in the 4th century.
Dr Sada Mire is an archaeologist, and she wrote that there is evidence of christian burial grounds at Aw-Barkhadle northeast of Hargeisa. She also mentions individual cruciform megalithic burials at various locations in Saahil and Hargeisa regions.^1 Aside from burials, she also mentions cultural practices suggestive of past Christian devotion. For instance, pilgrims who visit the burial site of Saint Aw-Barkadle are known to use powdered chalk to mark their foreheads with crosses during their visit.^2
Aweis A. Ali also puts forth arguments that there were Christians in the Somali peninsula from the 7th century onwards (Dr Mire thinks they are present from 4th century). He cites accounts from Muslim scholars al-Mas'udi, al-Biruni and al-Idrisi in the 10th, 11th and 12th centuries who all identify the port of Zeila as having a mostly Christian population, with only a few Muslims. However, al-Maghribi writes in the 13th century Muslims are a majority of the population of the city, and Ibn Battuta confirms this in his visit in the 14th century.
Aweis Ali also points to the tradition of Christianity on the island of Socotra which is traditionally traced to Saint Thomas the Apostle. He points to accounts from Marco Polo and the missionary St Francis that describe the inhabitants of Socotra as Christians (perhaps Assyrian church maybe influenced by Ethiopian Christianity?) as late as the 16th century.^3
Regarding Afar peoples, it is much harder to find information. From a few days searching, most information about Danakil depression and Afar people focuses on more recent time. There is unfortunately also a great deal of search contamination because many journal articles use the idiom "the view from afar". What I can say is that there was certainly trade in ivory between Ptolemaic Egypt and Afar in the 1st and 2nd centuries BC. The ivory trade was still active in the 4th century AD, though Afar peoples/the Danakil region were in the trade orbit of Aksum-Adulis. Could there have been minor but direct trade contacts between Afar and Egypt in 4th century that would have Christian merchants and missionaries? Or was all trade from Afar routed through Aksum in a monopolistic manner? Hard to say because our sources and archaeological investigation has focused on Adulis and Aksum. Archaeology in Danakil coast is comparatively neglected.
Regarding Oromo peoples, Mohammed Hassen says that Oromo peoples migrating north likely first encountered Amahara migrants travelling south in the Showa region in the 12th century.^4 Again like the Afar, there is not much/any information available about Christianity and the Oromo before the 16th century. Hassen says that Oromo traditional religion appears to be influenced by neighboring Christianity and Islam. For example, legends of a lost holy book. Or the serpent legend of Sapera.
If accept there were Christians in Somalia in the 4th century, the next question is "why did the Tigray and Amhara Christianize and remain Christian when Somalis and Afar converted to Islam."
To answer this, we need to understand a few things about the social character and organization of Christianity in the 4th century.
Christianity in the Roman Empire in the 3rd century was overwhelmingly urban phenomenon. Although there were some elite converts, the largest mass of Christian converts consisted of artisans, merchants and craftsmen who constituted urban professional classes. In the 2nd and 3rd centuries, Christian church structures came to organize themselves in imitation of the structure of the Roman Empire. That is, large congregations in large cities (often provincial capitals) would be led by a Bishop who would also have authority over smaller congregations in subsidiary cities within the diocese (equivalent to a province).
So while Christian populations inside the empire initially spread organically as parts of ethnic diasporas or professional networks across cities, by the 3rd century it had become a top-down network where Patriarchs appointed bishops, and bishops appointed subordinate priests.
So, in the 4th century in the Red Sea, Christians remained important as merchants. E.H. Seland suggests that this prominence as merchants may have been because Christianity was a "portable religion" where practice was not geographically constrained. He also suggests that there likely was already a merchant community of Christians at Adulis before Frumentius and his brother Edesus arrived in the early 300s.^5
However, the appointment of Frumentius as Bishop of Aksum and the conversion of king Ezana circa 350 were important events which entrenched Christianity and facilitated the conversion of the broad swath of Aksumite population. Having a Bishop at Aksum made appointment of priests much easier and facilitated missionary activity throughout Aksumite imperial territory.
The earliest church histories that survive either come from Alexandria or the Levant, and they briefly but consistently mention Bishops at Aksum. But, from a perspective so far away they don't give us good visibility on what sort of diocesan authority Bishops of Aksum might have had over Christian communities at Zeila, Hargeisa or along the Somali coast. As for Ethiopian sources, there are insciptions at Aksum and Adulis, but they are quite limited. The earliest surviving Ethiopian manuscripts we have are from the 13th century, which copy earlier manuscripts and oral traditions. There is just not much information available from these sources about Christian communities in 4th-10th century along Somali coast.
However, I do want to say something about "other Cushitic groups". We do know that Christian missionary efforts did manage to convert Agaw (or Agau) speaking peoples to the south and west of Aksum. In the 6th century, the Alexandrian merchant and later hermit Kosmas Indicopleustes wrote of governors of "Aksum and of Agau", implying some awareness and evangelizing effort in the 6th century. These conversion efforts were successful enough that the Zagwe dynasty ruled as Christian kings of Ethiopia from perhaps 950 to 1270.^6
1 "Mapping the Archaeology of Somaliland: Religion, Art, Script, Time, Urbanism, Trade and Empire" by Sada Mire in African Archaeology Review (2015) volume 32, pp 111-136.
2 "Wagar, Fertility and Phallic Stelae: Cushitic Sky-God Belief and the Site of Saint Aw-Barkhadle, Somaliland" by Sada Mire in African Archaeology Review (2015) volume 32, pp 93-109.
3 "A Brief History of Christianity in the Somali Peninsula" by Aweis Ali in the Somali Biblical Society Journal volume 2 issue 1 (2021). https://www.researchgate.net/publication/351329793_A_Brief_History_of_Christianity_in_the_Somali_Peninsula
4 Oromos and the Christian kingdom of Ethiopia by Mohammed Hassen. pp 7, pp 41.
5 "Early Christianity in East Africa and Red Sea/Indian Ocean Commerce" by Eivind Heldaas Seland in African Archaeology Review (2014) volume 31 pp 637-647.
6 Foundations of an African Civilization; Aksum and the Northern Horn 1000 BC - AD 1300 by David W Phillipson. pp 52, pp 227-229.