Even today, the Zoroastrians (that is, the followers of the legendary prophet Zarathustra) tell stories about a serious religious persecution by Alexander the Great, who killed the priests and ordered the holy book of Zoroastrianism, the Avesta, to be destroyed. The following description of from the Book of Arda Wiraz, a description of a vision of heaven and hell by a religious scholar who wrote commentaries on the Avesta in the third or fourth century CE, but can be dated to before 140 BCE.
Book of Arda Wiraz 1-17
They say that, once upon a time, the pious Zarathustra made the religion, which he had received, current in the world; and till the completion of three hundred years, the religion was in purity, and men were without doubts. But afterward, the accursed Evil Spirit, the Wicked One, in order to make men doubtful of this religion, instigated the accursed Alexander, the westernernote[Literally: the Roman. For a third- or fourth-century Persian, a Macedonian would be a subject of the Roman empire.] who was dwelling in Egypt, so that he came to the country of Iran with severe cruelty and war and devastation; he also slew the ruler of Iran,note[Darius III Codomannus, murdered in July 330 (more...).] and destroyed the metropolisnote[Persepolis, destroyed in May 330.] and empire, and made them desolate.
And this religion, namely, all the Avesta and Zand,note[The Zand is a commentary on the Avesta.] written upon prepared cow-skins, and with gold ink, was deposited in the archives, in Ishtakr, and the hostility of the evil-destined, wicked Ashemok,note[The name means "heretic". Stakhar Papakan can be identified with Estakhar near modern Shiraz.] the evil-doer, brought onward Alexander, the westerner, who was dwelling in Egypt, and he burned them up. And he killed several high priests and judges and priests and the masters of the Magians and upholders of the religion, and the competent and wise of the country of Iran. And he cast hatred and strife, one with the other, amongst the nobles and householders of the country of Iran; and self-destroyed,note[Alexander died after a drinking party.] he fled to hell.
And after that, there were confusion and contention among the people of the country of Iran, one with the other. And so they had no lord, nor ruler, nor chieftain, nor high priest who was acquainted with the religion, and they were doubtful in regard to God; and religions of many kinds, and different fashions of belief, and skepticism, and various codes of law were promulgated in the world; until the time when the blessed and immortal Ataropad-i Marspendannote[Marspendan means "keeper of the sacred fire". From Greek sources, this man is known as Atropates. After the death of Alexander, Atropates founded a kingdom ("Media Atropatene") of his own in what is now the Iranian province Âzarabyjân; it was one of the Persian enclaves, where the Zoroastrian religion could survive. The expression "on whose breast melted brass was poured" means that Atropates was considered invulnerable.] was born; on whose breast, in the tale which is in the Denkard, melted brass was poured.
Later, the kings of the Parthian Empire ordered a search for the remains of the sacred texts. Here is the story, as it can be read in the Denkard.
When king Hystaspes became relieved from the war with Ariaspes, he sent messages to other kings to accept the faith. And to spread the writings of the religion [...], he sent at the same time Spiti and Arezrasp and others who had studied the language relating to these writings [...].
Darius son of Dariusnote[The usual name of king Darius III Codomannus in Zoroastrian texts. According to Greek sources, his father was called Arsames.] ordered the preservation of two written copies of the whole Avesta and its commentary according as it was accepted by Zarathustra from Ahuramazda, one in the Ganj-i-hapigan and the other in the Dez-i-Napesht.
The Ashkaniannote[Ashk was the legendary founder of the Parthian monarchy. He is better known under his Greek name Arsaces.] government got the Avesta and its commentary -which from its original pure and sound condition had been (owing to the devastation and harm inflicted by Alexander and his general [...]) separated into parts and scattered about- to be copied out. And any work which remained with the high priests for their own study and the writings subsequently obtained in the city were ordered to be preserved and copies of them to be made out for other cities.
As it stands, this story cannot be true. Although there are some indications of a written version of the Avesta in Achaemenid times (it is mentioned in the Book of Arda Wiraz quoted above), and some more indications for its existence in the Parthian age, the real composition of this library of Zoroastrianism texts took place in the sixth century CE. There may have been some written texts in Alexander's age, but most religious knowledge was still learned by heart.
Nonetheless, the fact that in the legend above "the devastation and harm inflicted by Alexander" are presented as something that was well-known and need no further explanation, proves that this had become a well-established fact in the Zoroastrian history. Probably, Alexander did indeed try to destroy what was at that moment an "oral Avesta" by executing the Magians, the keepers of the (oral) traditions of Zoroastrianism.
There is one Zoroastrian text that may describe what really happened: the faithful gathered and taught each other what they remembered . Unfortunately, the text (a manuscript written between 300 and 600 CE, now in Bombay) is not very accessible. The fragment is here presented in the translation made by W.B. Henning, with comments written by Mary Boyce (History of Zoroastrianism, vol. III, 1991, page 16).
The harm that was done is indicated in a badly preserved Pahlavi text. This tells obscurely (because of textual corruptions) how, when "accursed Alexander" came to Iran
he seized and slew those who went in the garments of Magians.
A few men and boys, it claims, escaped and fled to Sistan (i.e., Drangiana note[In the last quarter of the fourth century, Drangiana was a kind of safe haven: Alexander's successors were fighting against each other in the west, and the eastern part of the former Achaemenid empire was only loosely governed.]), bearing with them the knowledge of particular Avestan works or "nasks".
A nask [...] would be learnt completely by heart, sometimes by women, sometimes by a child. And in that way indeed the faith was restored in Sistan, re-established and brought afresh into order. Except in Sistan, in other places there was no recollection.