This is a difficult Scenario but it can be won if planned right.
First of all this game starts of with your caravan getting ambushed by red Parthians and yellow Palmyrans. You'll need to have 2 of your cavalry scouts run away from the ambush an start heading southwest to escape.
You'll start off with 200 food, 200 wood, 300 stone to use in the game.
Defending your resources
Have your scouts find 3 villagers located in the south, then have them go southwest and start building a wall and at least 6 watch towers right by the cliff area.
Get a town center built in the west area where stone and trees are. Get at least 10 to 12 villagers created and have them build a storage pit right next to the gold mines. Have your villagers chop wood, gather berries, fish, mine stone and gold. Also have your villagers build farms.
Watch out for the ballista above the cliffs which will attack your party Take down the ballista with your catapult. Also you can create 2 priests to use to heal your units and convert the heavy horse archers which you can use for added defenses or get the artifact over safely but wait unit you level the red Parthians city.
The red Parthians and yellow Palmyrans will come after your fortified wall and attack the walls and watch towers, the red Parthians will attack with horse archers, stone throwers, the priests will attempt to convert your units, use your catapult to smash the stone throwers. Also the yellow Palmyrans will attack with chariot archers, ballistas and camels, the watch towers can easily shoot them down and kill them, and can prevent the enemy villagers from getting food and wood.
In the meantime build up your army, get chariots built up at least 5 to 6, get 4 to 5 ballistas built, bring your 2 priests with you,
Invading the Parthians and Palmyrans for 3 artifacts
Once you're ready with your army, attack the stables of the yellow Palmyrans and other military building and level their city down with siege weapons until they're no longer a threat, watch out for the watch towers and trireme which may attack you. Then claim your first artifact.
After your done with the Palmyrans, you can now focus your attacks on the Parthians, but before you do, if you run out of gold to mine, you can cross the bridge attack the Persian raider archers, breach the wall, and send your villagers to the gold mine and you can now get more gold that the Persian raiders were defending.
Once you're ready send your ballistas catapults to take down the watch towers. Then send in your chariots in to attack the enemies, have your chariots kill the priests and destroy the catapults since they're a threat, have the ballistas attack the horse archers, watch towers, also destroy the stables and other military buildings. You can now claim your second artifact.
Now you can now have your horse archers you converted if they survived to destroy 2 enemy stables, then bring your artifact safely past the leveled city Parthian.
Delivering the 3 artifacts to the Ctesiphon Wonder
Now you should be able to make a northeast journey through the mountain cliffs with 3 artifacts, don't let any enemy or your ally take any of the 3 artifacts. You should run into another wall which you can level down with siege weapons, you'll face enemy cavalry which you should take down with ballistas, archers, chariots, they should be easily defeated.
Continue on Northeast with 3 artifacts guarded. You'll be ambushed by more Persian raider archers which can be easily taken down with ballistas, chariots, archers.
After you dispatched all of the Persian raiders, bring 3 artifacts to the Ctesiphon Wonder for an instant victory in this campaign.