The Buddha is the only Indian holy man before early modern times who bears an epithet explicitly identifying him as a non-Indian, a foreigner

…it must be noted that the Buddha is the only Indian holy man before early modern times who bears an epithet explicitly identifying him as a non-Indian, a foreigner. It would have been unthinkably odd for an Indian saint to be given a foreign epithet if he was not actually a foreigner.

Moreover, the Scythians-Sakas are well attested in Greek and Persian historical sources before even the traditional “high” date of the Buddha, so the epithet should presumably have been applied to him already in Central Asia proper or its eastern extension into India—eastern Gandhāra.

There are also very strong arguments—including basic “doctrinal” ones—indicating that Buddhism had fundamental foreign connections from the very beginning, as shown below.

It is at any rate certain that Buddha has been identified as Śākamuni ~ Śākyamuni “Sage of the Scythians” in all varieties of Buddhism from the beginning of the recorded Buddhist tradition to the present, and that much of what is thought to be known about him can be identified specifically with things Scythian. Moreover, it must not be overlooked that we have no concrete datable evidence that any other wandering ascetics preceded the Buddha.

The Scythians were nomads (from Greek νομάδες ‘wanderers in search of pasture, pastoralists’) who lived in the wilderness, and it is thus quite likely that Gautama himself introduced wandering asceticism to India, just as the Scythians had earlier invented mounted steppe nomadism.

One way or the other, it would seem that the Buddha’s teachings were unprecedented mainly because they opposed new foreign ideas—the Early Zoroastrian ideas of good and bad karma, rebirth in Heaven (for those who were good), absolute Truth versus the Lie, and so on—which were previously unknown in “India proper”. He did this because he himself was foreign, and people actually understood and accepted that by calling him Śākamuni.

Beckwith, Christopher I.. Greek Buddha: Pyrrho’s Encounter with Early Buddhism in Central Asia (pp. 6-7). Princeton University Press. Kindle Edition.