Yes, Persians had their own gods. The religion of ancient Persia was Zoroastrianism, which was founded by the prophet Zoroaster in the 6th century BCE. Zoroastrianism had a pantheon of deities, with the most important being Ahura Mazda, who was the supreme god and creator of the universe. Ahura Mazda was seen as the god of wisdom, truth, and righteousness, and was believed to be the source of all good things. He was opposed by Angra Mainyu, the god of evil and darkness, who was believed to be the source of all evil.
Other deities in the Zoroastrian pantheon included Mithra, the god of contracts and friendship; Vayu, the god of the wind; and Anahita, the goddess of fertility and water. These deities had specific domains and roles, and were often invoked in rituals and prayers.
It’s worth noting that after the Achaemenid Empire fall and the rise of the Sassanid Empire (3rd century CE to 7th century CE) Ahura Mazda was elevated to the status of the only god and the other deities became less prominent.
Zoroastrianism was the dominant religion of Persia until the Islamic conquest of the 7th century CE, after which it gradually declined. However, it still has a small number of followers in Iran, India, and other countries today.