The Great Game which divided Persia into a Russian-controlled northern zone, a nominally independent central zone, and a British-controlled southern zone, officially ended with the Anglo-Russian Convention of 1907. After the end of Cold War, Central Asia became the central point of attention by the world powers, US, Russia and China, EU etc and many other regional players. Possessing divergent interests, the competition among external powers in the region is popularly termed as the New Great Game. Central Asian governments are working to use renewed external involvement to their sovereign advantage, extract economic benefits and political support where possible. India considers the region as geo-strategically and economically vital to fulfill its various interests like energy, trade and investment, security etc and both the regions own multifaceted historical ties. Apart from economic and other commercial interests, India also considers the region vital for the security and stability of Afghanistan. At present Middle East region accomplishes the required energy imports of India but in recent times, the region turned more unstable. Hence Indian policymakers started thinking about an alternative source and identified Central Asia as the best option. Therefore, economic diplomacy remains India's basic policy thrust towards the region and needs no clash but a compatibility of interests with the new states. v India has to face many challenges to get connected with Central Asia like the New Great Game, lack of proper road link, religious extremism and terrorism, drug trafficking, small arms proliferation and the most challenging one that is NATO withdrawal from Afghanistan in 2014. India has to take lead to overcome the significant influence made by several regional powers and to make its own position extremely strong in the region. Hence this study will make an assessment about diverse interests that India possesses and various challenges due to role of external major powers in the region and also India's strategy to protect its interests in energy rich Central Asia.