Caucasian Albania was the area of modern-day Azerbaijan. It was a client state of the Roman Empire for four centuries around the time of Christ. Its influence over the region started in the first century before Christ and lasted until around 250 AD. Around 299 AD, Albania was again a "nominal" vassal state of emperor Diocletianus for a few years more.
Rome controlled Caucasian Albania only as a client or vassal state. It was never able to fully make it a part of the Roman Empire, like a "province" (as happened with its neighbour, Armenia).
In these centuries Rome brought Christianity to the Caucasian Albanians, with a western cultural influence that has lasted until contemporary Azerbaijan. Even if few Azerbaijanis are Christians today, the writing system they use is the Roman alphabet.
A second and final influence came from the Eastern Roman Empire when emperor Heraclius was able to take control of Caucasian Albania in 627 AD with help from the Gokturks of the Western Turkic Khaganate, in the Third Perso-Turkic War.
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