In the first two centuries CE, Jews led two major revolts against the Romans—first, the Great Revolt (66–74), then the Bar-Kokhba Revolt (132–135). In their tragic aftermath, when the Temple lay in ruins and Jews were forbidden to live in or near Jerusalem, many decided to seek new homes abroad. Some from this early Jewish diaspora turned south and ended up in North Arabia, where only inscriptions survive to bear witness to individuals who clearly belonged to the scattered Jewish communities of pre-Islamic Arabia.This essay summarizes an article by Gary A. Rendsburg in the current issue of Biblical Archaeology Review. The full article is behind the subscription wall.[...]
For more on the site of Hegra (the "Petra of Saudi Arabia" and an important Nabatean/Nabataean site) see here and links. For more on Aramaic and Jews at the site of Tayma, see here, here, here, here, and here.
As some of those posts indicate, Tayma is also known as the site of the Babylonian King Nabonidus's self-exile, a legendary version of which appears in the Aramaic Prayer of Nabonidus from the Dead Sea Scrolls. Something like this legend looks to be the source of the legend of Nebuchadnezzar's madness and exile in Daniel chapter 4. Follow the links for more information.
There was also a Jewish Kingdom of Himyar in late-antique Arabia.
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