Answer:
Alexander brought from Greece his soldiers with Greek religious, ideas and the art, specifically the sculptures of Olympian gods.
The indigenous religion was Buddhism.
But the influence Greeks create a challenge, as Indians started to turn to the conquerors religion. As consequence, in an area called Gandhara, the Buddhists started creating their own sculptures.
But in the lack of a prior indigenous sculptural tradition, they imitate their Greek rivals. The result was an impressive Greek-influenced Buddhist sculptural design.
The Gandhara School or Greco-Buddhist School of art was inspired on Greco-Roman standards.
Gandhara Art shows the ancients Greeks influence by many ways:
Greek god as protection: Buddha is always under the protection of Hercules (Greek god)
The Artistic beauty: Buddha with the same appearance as Apollo (the god of the sun)