The article analyzes the everyday business activity of Asian entrepreneurs who participated in caravan trade with the Russian Empire through the cities of Orenburg region in the first quarter of the 19th century. The specifics of foreign trade operations of merchants from Bukhara, Khiva and Kokand during this period were almost completely ignored by Russian historians in the pre-revolutionary, Soviet and modern periods. The source base of this article consists of unpublished archival documents that shed light on the details of the business activities of merchants from Asia. Letters to the regional and Imperial administration made by Asian entrepreneurs, as well as personal letters from foreign merchants are particularly valuable in this regard. Traders had to deal with a long list of tasks. Before the caravan could go along the required route, it was necessary to hire responsible guides, which was not always possible (guides often turned out to be unreliable, which led to additional expenses for the cargo owners), acquire pack animals, take care of security and prepare a considerable amount of money for various road tolls for travelling through the Kazakh steppe. The merchants who were successful in the caravan trade were characterized by moral and psychological stability, the ability to restrain themselves, not succumbing to momentary desires, and even the skills of using cold weapons and firearms. To resolve issues that were exclusively within the competence of representatives of the Russian regional or central administration, Asian merchants had to possess certain communication skills.