The article below on Parthian Religion is authored by Professor M. Boyce and was originally posted in the Encyclopedia Iranica).
Nothing is known of the religion of the Parni before they entered Parthia, but it seems likely that it was essentially the ancient Iranian polytheism, perhaps already influenced by Zoroastrianism. The immigrants are known to have adopted the Parthians’ language, and with it they presumably took over elements of their culture, including their more evolved, Zoroastrian religion. Since, moreover, it is politically expedient for ruler and ruled to be of one faith, it may reasonably be assumed that, at least from the time they seized power, the Arsacids were professed Zoroastrians.
Evidence concerning their religion remains scanty, considering the length of their rule. It is possible nevertheless to trace some important developments in observance, notably in the fire cult. Temple fires had been established only late in the Achaemenian period, and it is possible that the Parthian sacred fire of Ādur Burzēn-Mihr (q.v.) was the first one to enjoy more than local fame. It is likely that the Arsacids deliberately promoted its legendary sanctity and encouraged pilgrimage to it, as later Shah ʿAbbās encouraged pilgrimage to Mašhad in the same region, for religious, political, and economic motives. Further, the first known regnal fire seems to be that recorded by Isidore of Charax (Parthian Stations 11): “Beyond is Astauene…and the city of Asaak, in which Arsakes was first proclaimed king; and an everlasting fire is guarded there.” The custom of establishing a temple fire at a king’s coronation appears to have been a regal development of the age-old one of a new householder kindling his hearth fire; and it spread under the Arsacids to their vassal-kings (see Nāma-ye Tansar, ed. M. Mīnovī, Tehran, 1932, p. 22, tr. M. Boyce, Rome, 1968, p. 47 with pp. 16-17).
Another Arsacid development of the cult of temple fires was perhaps that of endowing such a fire for the soul (pad ruwān) of an individual. This development is in accord with traditional Zoroastrian care for the soul (which was held to benefit from the merit of the fire’s consecration and that of all pious acts performed for it thereafter); but it could not have taken place before the institution of temple fires had become well established. The earliest evidence relating possibly to such foundations comes from ostraca excavated from the Arsacids’ first capital of Nisa (q.v.), and relates to deliveries of goods from estates which formed part of some royal endowment. The kings concerned are Priapatius (ca. 191-76 B. C.), Mithradates I (ca. 171-38), Artabanus I (ca. 127-24/3), and Gotarzes I (ca. 90-78). In the case of the last-named, the record comes from his lifetime; and it may be that all the foundations concerned were made by the kings for their own souls (a pious custom attested also in the Sasanian period; see I. M. D’yakonov and V. Livshits, Dokumenty iz Nisy, Moscow, 1960, pp. 20-21; A. Perikhanian, VDI, 1972