Imma chime in here cos >>23789 looks like English is not his strong point.
>What did it look like? Did Bactrian cities look Greek or Eastern?
I don't think there have been any reconstructions of the architecture of Sogdiana or Bactria so I'm just gonna guess. Bactria would have lots of Persian influence because of the long Achaemanid control. The Sogdians, I am not too sure, they could have had Chinese influences too because of their trade relations with the Song(?)
>What religions did steppe peoples follow prior to Islam?
The Iranians would have probably practiced Zoroastrianism or an older form before Zoroaster's reforms. Manichaeism came around the same time as Nestorian Christianity which was spread from Syriac speakers (the Sogdian alphabet is a daughter of Aramaic, which the Uyghers adopted, then the Mongols adopted the Uygher alphabet which became their traditional script). I believe Buddhism spread before Manichaeism or Christianity, it had a rich history there (https://en.wikipedia.org/wiki/Silk_Road_transmission_of_Buddhism).
The Uyghers and other Turks followed Tengrism of courshe but when they started to settle in the Tarim basin, many of them adopted the many religions of the prior inhabitants (the Tocharians who were an Indo European people). In fact I believe there are religious documents written in Sogdian and Uygher about Buddhist sutras and Christian and Manichaean hymns.
>What are some good books or documentaries about this region?
I would not bother with any documentaries as they are solely for plebs. I'll provide a list of books instead.
Christopher Beckwith - Empires of the Silk Road
Frank Lee Holt - Thundering Zeus
H.G. Rawlinson - Bactria- The History of a Forgotten Empire
James Ward - Sogdian Traders- A History