In a remarkable letter, Tolkien writes: “I was from early days grieved by the poverty of my own beloved country: it had no stories of its own, not of the quality that I sought, and found in legends of other lands. There was Greek, and Celtic, and Romance, Germanic, Scandinavian, and Finnish (which greatly affected me); but nothing English, save impoverished chap-book stuff. Of course there was and is all the Arthurian world, but powerful as it is, it is imperfectly naturalized, associated with the soil of Britain but not with English; and does not replace what I felt to be missing.“
By his own criteria, Tolkien was determined to create a mythology for England, inspired by Old English and Old Norse mythological accounts. A most interesting, subtle, link between Tolkien’s mythology and that of the of the ancient Indo-Europeans, can be seen in an early version of the tale of the awakening of Men appearing in the outlines to “Gilfanon’s Tale” in The Book of Lost Tales specifically as regards to Ermon, Avestan Airyaman, Vedic Aryaman.
Tolkien was utterly immersed in ancient Indo-European mythology in all its forms. He noticed the great similarity specifically between Norse mythology and ancient Zoroastrianism. Gaps that existed in Old English and Old Norse tales, he has subtly filled with Zoroastrian themes. He was very familiar with Franz Cumont works. Cumont pointed out many similarities between the Old Norse Mythology and ancient Zoroastrianism. Cumont correctly pointed out that the Vedas depict a world very similar to Greek myths while ancient Zoroastrianism and Norse mythology remarkably show identical themes and world views.
Tolkien also held the Rawlinson and Boseworth of Anglo Saxon Studies Professorship till the end of his life. Thus, he must have been particularly familiar with Rawlinson works when it came to Avestan studies. Tolkien seem to be not just thinking of Old Norse mythology as inspiration for his recreated mythology but complimented it with ancient Zoroastrianism as the purest form of ancient Indo-European worldview as it was firmly believed by the likes of Pike, Rawlinson and Cumont. Tolkien specifically calls Gandalf Mithrandir. Was he thinking of Mithra as Arbiter of the Gods when he was giving Gandalf this name?
Also the cosmic battle of light and the brilliant gods against deformation and evil seem to have a very clear source in the Zoroastrian tradition. No other Indo-European faith equates evil with deformation, clumsiness and stupidity as Zoroastrianism does. We see this in Tolkien depiction of orcs and their tortuous existence.
Tolkien was also fascinated with Finnish mythology, and Finnish Great epic poetry of Kalevala. Although he never visited Finland, he learned Finnish and incorporated a lot of themes from Kalevala into his reconstructed mythology. It is very likely that Tolkien knew of the influence of Uralic and Uralic mythology on ancient Indo Iranians and Zoroastrianism. An influence that is more evident than in any other Indo-European ancient religion and language.
Tolkien was a devout Catholic but the Catholic themes that run in his stories/reconstructed mythology, themes like the fall of men and elves clearly go back to the dawn of the Indo-European religious poetry specifically ancient Zoroastrianism. So in conclusion, Tolkien tried to recreate a mythology for English people. But his fascination with Finnish/Uralic Mythology, and his backdrop of Old Norse Motifs made him compliment it with inspirations from ancient Zoroastrianism that resembled Old Norse greatly, and had substantial borrowed elements from Ancient Uralic that fascinated him.