Read the history of the Roma on Wikipedia. It is commonly accepted that they migrated from the Punjab in the Middle Ages.

India also has a non trivial number of nomadic groups/tribes. In my part or India they are called “Lambani”. Their lifestyle closely resembles that of Gypsy, however I’m not knowledgeable enough to comment if they are related.

Here’s an article from DDG search:

https://indiantribalheritage.org/wp-content/uploads/Lambanis...

From wikipedia (https://en.wikipedia.org/wiki/Romani_people#Origin)

Genetic findings suggest an Indian origin for Roma. Because Romani groups did not keep chronicles of their history or have oral accounts of it, most hypotheses about the Romani migration's early history are based on linguistic theory. There is also no known record of a migration from India to Europe from medieval times that can be connected indisputably to Roma.