Current borders and nations in central Asia exist only since 1930s and were created by USSR. It would be simple to dismiss them as simply Soviet invention yet, there is more to it than just that.
To begin with I need to point out that Kazakhs, Uzbeks, Kyrgyz and Turkmen are Turkic people or at least speak Turkic language. Their languages are partially mutually intelligible though there are some differences between them.
Tajik is the only outlying language. It's an Iranic type language similar to Parsi one spoken in Iran or Kurdish. There are many speakers of this language in Afghanistan where it's called Dari.
That explains what divides Tajiks from the rest, now I will explain what divides the rest of them from each other. I will begin with Uzbeks and Kazakhs.
Both Uzbeks and Kazakhs are Turkic people, so they are pretty similar to each other in both appearance and culture. The difference is that Uzbeks adopted sedentary lifestyle much earlier than Kazakhs. They diverged in 12th to 15th century something.
Uzbeks are those who settled in conquered fertile lands in the south that used to belong to Iranic people. Kazakh instead continued to lead nomadic life all the way until USSR decided to make them sedentary in 20th century. Due to long period of development in relative isolation from each other, there is some differences between Kazakh and Uzbek languages. Also, they belong to different branches of Turkic languages which possibly explains why Uzbeks would not want to share the lands they conquered with their northern cousins.
Of all Central Asians, Kazakh have the most Sovietized culture. They are the most found of Soviet times as well. Kazakhs adopted a lot of Soviet culture and integrated it with their nomadic past into their current Kazakh cultural identity. In contrast Uzbeks cling towards their pre-Soviet identity with its Persianified culture and architecture they conquered from locals back in the days.
Tajiks are remnant of the conquered Iranic people, that before 10th century used to live in fertile lands between Syr Daria and Amu Daria as well as Ferghana Valley. However, after conquest Uzbeks partially displaced them and pushed them out into mountains in the east and south few of them left nowadays. That explains why Tajiks and Uzbeks are often live in the same areas and there is more overlapping between them than between other ethnic groups despite the biggest differences in language. Hard to tell how close Tajiks are to the original culture of these areas. It is very possible that their culture significantly changed since these times and morphed into something distinct under pressure from their Uzbek rulers.
Kyrgyz speak language of the same branch as Kazakhs and used to be nomadic until the USSR just as Kazakhs. That raises the obvious question of what makes them different from the latter. The reason Kyrgyz are not Kazakhs are the fact that back in the days Kyrgyz formed a strong tribal federation for the purpose of controlling fertile lands around Lake Issyk Kul. Lands around such large lake are fertile but there is not enough of them for every nomad out there. So, an alliance of 40 tribes decided to hog it all up for themselves. They later became Kyrgyz. Those the alliance pushed aside and kept away from the lake became Kazakhs. Of all Central Asians Kyrgyz are probably most traditional and have a lot of elements of traditional nomadic life such as Yurts, musical instruments and Mongol style hats.
Final and the strangest ethnicity of Central Asia are Turkmens. Likely they were former Iranic people who decided to adopt nomadic lifestyle and Turkic language after Uzbeks conquered the fertile lands. In that respect they are partially similar to Cossacks of Don and Zaporizhya. However, unlike Cossacks that only went nomad for practical reasons and maintained a culture and identity distinct from Turkic nomads around them, Turkmens seemed to be more found of nomadic life and wear their Turkness with pride. Turkmens are people from whom most of the strange and colorful cultural elements of Central Asia originate, like big hats of sheep skin and such.
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