Yazd, in the Persian heartlands Daman, in southern Gujarat
Both of those start under the control of Muslim countries. There are no Zoroastrian nations at the game’s start. Luckily you can grab hold of any of these two provinces, force a religious rebellion in them, and let the rebels convert your provinces to Zoroastrianism. After they convert at least half your country, you can accept their demands and convert to the religion.
How To Convert to Zoroastrian
Step 1: Secure a Zoroastrian province
First of all, you need to have a Zoroastrian province under your control. Either conquer one of the two starting ones mentioned above or start as one of the nations controlling them.
Step 2: Send a missionary to convert the province
You do NOT want to change the province’s religion. You simply need to force a rebellion with the rebel type “religious”. This will always happen when a missionary is present. Just make sure to lower missionary maintenance so you do not actually convert the province.
Step 3: Mothball your forts and send your armies away
In preparation of the rebellion, you should stop maintaining forts in the country to allow the rebels to occupy provinces more easily. Set your vassals focus to “passive” and station your armies outside your lands.
Step 4: Let the rebels convert as much land as possible
After the rebellion fires (you can provoke when it reaches 50% progress to speed things up), you should allow the rebels to run rampant in your nation and occupy your provinces undisturbed.
Step 5: After more than half your country’s development follows Zoroastrianism, accept the rebels’ demands
IMPORTANT: Accepting their demands before they have converted at least half your country’s development will NOT change your state religion. If the rebel army accidentally gets killed, do not worry. You should now have more Zoroastrian provinces with religious unrest. Simply wait for the next revolt and repeat the steps above. Another method for converting is going bankrupt when your ONLY province follows the Zoroastrian religion. This isn’t something you would aim for though.
Benefits of Zoroastrianism
The Zoroastrian religion provides:
+2 Tolerance of the true faith +10% trade efficiency
On top of that, it sports a holy sites mechanic much like the Coptic faith. Controlling a holy site and converting it to the faith allows you to choose one of five bonuses. Controlling all the sites gives you all five bonuses. These bonuses are:
-0.05 yearly corruption +10% goods produced modifier +2% missionary strength +10% governing capacity -10% construction cost
The holy sites and their controllers at game start are:
Shirvan, controlled by Shirvan Daman, controlled by Gujarat Laristan, controlled by Fars Khiva, controlled by Transoxiana Sabzevar, controlled by Khorasan
3 of those start as vassals of the Timurids and the other 2 are also close by. On top of all these great bonuses from controlling the holy sites, Zoroastrianism is the only religion that can reap the benefits of the Baku Ateshgah monument. This monument, when fully upgraded provides:
+10% discipline -10% culture conversion cost +5% land fire damage -10% fire damage received
These military bonuses are insane. A late game Zoroastrian Persian empire can be an unmatched military powerhouse.