The authors think that the study of ancient nomads of the Central Asia (and particularly of the territories occupied by them) is handicapped by the use of sources belonging to different periods. Meanwhile, their exists a vast complex of ancient written sources which make it possible to describe the situation of a very precise period under Alexander the Great, just about three years. At that time the Sacae inhabited some areas in the western part of Central Asia, obviously, from the Caspian See to the Amu Darya. The Massagetae lived, as it seems, in the lands southward of Khwaresm, probably on both banks of the Amu Darya. The Dahae populated the lands along the northern reaches of the Syr Darya, some groups of them perhaps appearing to the North of Sogdiana. The political alliance of the nomads occupying the eastern bank of the Syr Darya in its middle reaches was called in ancient sources «the kingdom of the European Scythians» or «the kingdom of the Scythians who are across the Tanais». This unusual name is to be explained by the fact that some of the ancient authors who wrote about them believed that the Syr Darya was the Tanais and divided Europe from Asia. The authors can not find any explanation of the fact that the sources gave no ethnic name to this political union. It must be stressed, though, that only this union was called kingdom by the sources.