https://www.travellerstimes.org.uk/features/feature-roma-and...
This link claims that they were captured by the mongols and brought to europe where they were then enslaved, for instance, by romanians and by others.
Other sources indeed claim that they fled india as they were a lower caste and while initially allowed to live freely they were eventually enslaved.
I know for a fact that in Romania they were enslaved - there are articles in the Romanian media showing ads from the interwar period where roma slaves were sold on the open market. In some regions they were still slaves until the early 90s (they were called “sluga”).
The fact that we know little about their history and there are virtually no museums or places to learn about it is quite telling. Western europe for instance completely erases their history and uniqueness by conflating them with romanians.
All I can gather are sparse sources, but they all point to india, slavery, and loads and loads of historical abuse towards them.
Their history is super sad, yes.
For those unaware, Dalits are "untouchables", the lowest Indian caste.
Really puts paid to the affirmative action fueled india-bad-caste-bad-hindu-bad notion that gets so much traction in Europe.
They didn't leave India because India was being nice to them...
So there's shame on both sides.