The Great Game by Peter Hopkirk details the history of the 19th century shadow war for supremacy in Central Asia–that is, the spying, territory-grabbing, and general skullduggery accompanying the land grab of the Central Asian states and countries by Tsarist Russia and Victorian Great Britain. A great deal of the activity was centered around Afghanistan, which provides a lot of background about why the situation is so messed up today.
Investigations (exploring and snooping) were first begun in the area because of the British occupation of India. The greatest fear of the British occupiers was that the Russians would come swooping down on them through the Khyber Pass to take away what they had gained in India. So they sent small groups of men into the forbidding, wild regions to investigate the terrain, establish outposts, and try to make pacts with local war lords, khans, and other rulers.
This history is written by a Brit, so the Russians are the tacit bad guys. However, it would seem that often the Russians were more reliable partners to these states and countries than the British, who consistently let down their allies by doing nothing when the Russians invaded their territories. For their part, the Russians seemed often to be more brutal, but not always.
The book contains the enthralling stories of many young officers and civilians who took on dangerous missions into unknown, very wild territory with little or no backup from the British government, some of them simply to explore the areas but others to actively spy. Often these young men received no thanks from the British government for their efforts.
Note that a different edition of this same book is called The Great Game: The Struggle for Empire in Central Asia. I believe these are both the same book but that On Secret Service has been updated, taking into consideration recent events. I am not exactly sure which one I read because my edition was a special one from the Folio Society (just called The Great Game), but was published around the same time as the more recent book.