Zoroastrianism In The West

   Well the obvious option is that the Persians win their wars with the Greeks.  Probably best a victory at Marathon and then OTL Greece in whole or part is drawn into the Persian empire.  Probably with periodical rebellions being defeated.  Classic Greece religion and ideas are probably gradually replaced by Zoroastrian beliefs, although in the early empires of the Achaemenid  and Parthian dynasties they didn't seem to practice much persecution of other faiths.  Assuming this butterflies the rise of Christianity that could continue or a later emperor or dynasty could become more restrictive.

  At some point of course the empire will collapse.  However with Greece conquered the threat could come from the east with some steppe people such as the Parthians conquering its Iranian heartland.  In that case the western remnant, if it survived could in turn look further west and becoming dominant in the central Med, defeating Rome/Etruscia, Carthage and any Greek diaspora in the region and steadily absorbing them as well.  This could in turn lead to later dissemination of the faith further across the Med and north into the rest of Europe.