Pause the game as soon as the scenario starts and have a look around. Certain things are important immediately. You have one cavalry scout skirting a Tayichi'ud (henceforth called Yellow) village, and a bunch of cavalry in your "base". Yellow has a very low score, and must be very weak. You have no villagers and no production buildings, but the scenario instructions tell you to conquer Yellow to rectify this. You will be told this again very soon. You have a Wonder, which you must protect at all costs, but it never gets attacked, and in any case, any reasonable course of action by you will make it completely inaccessible to the enemy.
A scenario like this presents a bit of an ethical dilemma. All of your troops are moving automatically at the beginning, but you can force them to move differently. The scout will move to your "base" and deliver the message that you should attack Yellow, but you can do that before the message arrives. It benefits you to do this attack early, but is that proper? The recommendation here is that you cooperate with the scenario design and not attack Yellow until the message arrives.
You have no way of healing any of your cavalry at the start, and it will be a long time before this changes. Therefore, it is imperative to use damage avoidance techniques in combat. At the same time, you need to conquer Yellow as fast as possible. So sweep into the Yellow village like a hurricane, but cautiously! Use Ambush tactics.
You need to kill five cavalry archers. Fighting archers, you cannot avoid damage entirely, but it should be minimal. Then you acquire seven villagers, a Town Center, and a bunch of Houses. Start cranking out more villagers immediately. You will need about fifteen before you produce anything else; keep in mind the fact that villagers are the only units you have in the Dark Age that can both fight and be healed. There are no domesticated food animals in the wilds of Mongolia, so you will be doing a lot of hunting. The downside to hunting is that it takes a certain amount of micromanagement to avoid winding up with a bunch of rotting carcasses. You also need to be collecting a lot of stone in the Dark Age. Wood and gold are not as important, but should not be ignored entirely. After producing the villagers, focus on entering the Feudal Age as soon as possible.
In the meantime, you need to be scouting aggressively. You will actually find a few sheep, but just park them somewhere for later processing. You will find 19 gold mines and six stone mines. The gold is adequate for your needs, but the stone is not. Unfortunately, you will need to do Market manipulations. You will find that half the map is inaccessible. You will find that you can easily enter the Kara Khitai camp.
The Kara Khitai
In the Kara Khitai camp, villagers are merrily collecting resources, unprotected by any obvious means. To kill or not to kill? That is the question. You should know in your bones that attacking these villagers will provoke a massive response, but ultimately, you want those resources for yourself, so you do what comes natural for a Mongol. When the massive response shows up, console yourself with the thought that they were probably going to attack you anyway. Run away to your Town Center and fight there. 10 villagers inside a TC is a formidable force; use your mobile troops only as necessary in this fight. Unfortunately, your cavalry will be seriously battered after just this one fight, and any further raids will have to be put on hold for now.
As soon as you enter the Feudal Age, throw up a stone wall to seal in the Kara Khitai. Commit as many as 10 villagers to this project. Use accelerated wall building techniques. There actually is an optimum wall. It has three gates and costs 220 stone. Build four supporting Towers to cover the entire wall; no more, no less. That costs 500 stone, and leaves you enough for two castles and some repairs. If you crush the Kara Khitai fast enough, you will pick up enough stone for one more castle. You will need those castles, and probably one more, plus a lot of stone walls, plus stone for research. There is a serious stone deficit in this scenario.
In the meantime, build about five more villagers. You will need a lot of every resource type for a long time yet. In the Feudal Age, your only other production should be about 10 archers to defend the wall. These archers can be healed without monks, so try to use them to absorb some damage as well. You must be extremely parsimonious with your stone. Research only the most important items. After that, concentrate on reaching the Castle Age.
When the wall is ready, head back into the Kara Khitai camp and drive their villagers away from your resources. Their troops will probably not be amused, but you are ready for that. Run away when you must, and while their troops are being slaughtered in front of your wall, come back through a different gate and repeat the process.
As soon as you enter the Castle Age, produce a couple of monks. This will revitalize your cavalry, but the most important effect is that you can now maintain a strong military force deep in the Kara Khitai base, with only brief withdrawals for healing. The Kara Khitai have only one Tower, one Town Center, and a bunch of light troops. Pretty soon their gold stockpile is depleted, and then they can only produce the in extremis junk. But they actually only produce Skirmishers, and so, using only the handful of Light Cavalry you started with on the front line, you grind the Kara Khitai into oblivion. When they surrender, all of their remaining units commit suicide, and their production buildings and Tower become rubble.
Explore what remains of the Kara Khitai camp. Take possession of their farms, stone mines, and so forth. Do not destroy their Market! That would be like killing the goose that lays golden eggs. (In practical terms, you will not need that gold, but you don't know that yet.) You will find that the western half of the map is completely sealed off. Actually, it is very easy to pass through the barrier, but your enemies cannot pass it before you do.
Kushluk
You will have known since the beginning of the scenario that Kushluk is hanging out in the middle of the map with a cavalry archer escort. When one of your units approaches, they all run away. Do not pursue them immediately. You need to recognize that Kushluk has been building up, unmolested, since the beginning of the scenario. He certainly has a maximum population and a substantial reserve of resources. You will find out later that he will not run out of gold for a long, long time. As soon as you breach the western Kara Khitai wall, you will be facing a flood of enemy units.
You need to map out a good location for a stone wall in the mountain pass. It will approximately follow the Kara Khitai wall. Replace the wooden wall section by section. But first, put up a castle there so you won't get swamped. You should probably also build up your mobile forces before making the first breach.
There are three main approaches to the rest of the scenario. The first is to put up some stonework in the mountain pass and then defend it until Kushluk runs out of resources. That will give you a quick introduction to the practical meaning of never. The second method is to start spamming units, weighted towards Light Cavalry, and fight a war of attrition. You will eventually win, but your casualties will be horrendous. The third, and recommended, method is to do what the British did to win the Boer War.
Kushluk produces sword infantry, Skirmishers, cavalry archers, Light Cavalry, and light artillery. None of this stuff is effective against stonework, but it is pretty good against the sort of mobile force that you can field. Accordingly, the only reasonable way for you to advance without taking forever or losing a lot of troops is to push your stonework forward. The only problem with this approach is that you don't have enough stone. Therefore, you will need to be building wooden walls and wooden mini-castles in addition to the stonework, because Market manipulations become extremely inefficient at some point. Kushluk also has a lot of static defenses (but no walls), and you don't really have a good way of dealing with those.
The basic approach is to raid and sanitize an area, and then to quickly seal it off with walls and static defenses while Kushluk rebuilds his mobile force and you heal yours. Repeat as necessary. Eventually, you would like to build a castle near Kushluk's Town Center. This will effectively end the scenario, although you still have to kill Kushluk himself. The process is straightforward in principle, but does require a lot of effort on your part. Do not be surprised if you end up killing more than a thousand units.