It is generally thought amongst historians that the Alans were a people called by the Chinese of the Han dynasty "Yancai", which translates as "vast steppe". They were part of a larger grouping called "Kangju". The Chinese name "Yancai" changed to "Alanliao" at about the 1st century BCE.
Where did the Alans originate from? Well, if we go back far enough, Africa of course. But we are interested in when a a group horse riding nomad pastoralists that identified themselves as Alans first appeared. Historians think - based on linguistic analysis of modern Ossetian - that they came from North-Eastern Iran. The Ossetian self-designation for themselves is Ir and the words for their language and land are Iron and Iryston respectively. These words can be traced back to the Aryans, a prehistoric people who settled in the Iranian plateau.
There is not the space here to give you the complete story, but in summary, it goes something like this. Indo-European is a language family which contains most current European languages, along with Russian and Baltic languages, Iranian and northern Indian languages and languages that were once used in central Asia and western China. Over two hundred languages, both extant and dead, comprising the largest language family on Earth, with some three billion current speakers.
One of the sub-groups of Indo-European is Indo-Iranian, which contains such languages as Persian, Hindi, Urdu and, sitting all on its own, far to the west, Ossetian. Ossetia is surrounded by languages from different Indo-European sub-groups, such as Balto-Slavic, Anatolian, Armenian, etc., but none from the Indo-Iranian branch.
The historian Peter Heather says, "It looks, at first glance. as though a group of Indo-Iranians migrated from Iran to the Caucasus but did not assimilate into the societies it found itself amongst. But if we assume a coherent band of Alans migrating from a particular area in Iran to the Caucasus and then staying free of all surrounding linguistic influences, we have a situation unique in the history of migrations."
"However if we assume a loose federation of tribes and small bands that take on the identity of Alans, as much by adoption of conquered groups and individuals and by patron client relationships as by birth and if we also assume push and pull pressures on their migration, which involves various groups sloughing off in different directions and a particular group being squeezed further and further into a small area, in this case the mountain fastness of the Caucasus, then we have a situation that describes many Indo-European groups from some 4000 years BCE till the appearance of nation states."
There is a very good explanation of changes in the historian's view of migrations in the first chapter of Peter Heather's book "Empires and Barbarians."
The first mention of the Alans in western records appears in the writings of Strabo sometime during the first dozen years CE. He calls them Aorsi and places a northern group living along the Tanaïs, which is the ancient name for the river Don, with a southern group in the coastal region of the Caspian sea. This is the area which became the eternal hotspot of Georgia, Ossetia, Ingushetia and Chechnia
There is a very pleasing, if somewhat tenuous, connection between Alans and Amazons. Apparently some shipwrecked Amazons married Scythian warriors, on the condition that they move away and not follow Scythian customs. Heroditus wrote that they headed north east, beyond the river Don and became Sauromatians (the Greek word for Sarmatians).
What is clear is that in the two centuries before common era, nomad tribes, including the Alans, led a similar existence from the eastern edge of what is now Europe to the frontiers of China. They lived in tents, probably the Yurts that can still be seen today in central Asia, carried their worldly goods in wagons, called Lele carts, and kept, along with cattle and sheep, vast herds of horses. The horses were not just a means of transport, but provided meat, milk, sinew, offerings to the gods and even armor; which was made from discs, split from hooves and strung together into fish scale breast plates.
The bulk of references to Alans in their early period relate to their participation in the innumerable small wars that took place around the edges of the Roman Empire.
The most interesting observation is that they seemed to fight for both sides, whether this refers to different tribes of Alans, or a well developed mercenary culture we may never know. Some commentators differentiate between European Alans and eastern Alans, but the descriptions given could apply to any of the tribes of steppe nomads living in the general area.
Whichever side they appeared on, they were cavalry through and through, fighting from horseback with bow, spear, and lasso. Careful with the meaning of lasso, it may have been a net on the end of a rope, which would have been a very effective weapon for a horseman facing infantry.