On August 15, 1885, he traveled to Baku with Erhard Sandgren and instructed him there for seven months, and he himself began to learn the Latin, French, German, Persian, Russian, English and Tatar languages. He later learned several Persian dialects as well as Turkish, Kyrgyz, Mongolian, Tibetan and some Chinese.
On April 6, 1886, Hedin left Baku, traveling by paddle steamer over the Caspian Sea, riding through the Alborz Range to Teheran, Isfahan, Shiraz and the harbor city of Bushehr. From there he took a ship up the Tigris River to Baghdad, returning to Teheran via Kermanshah, and then travelling through the Caucasus and over the Black Sea to Constantinopole. Hedin then returned to Sweden, arriving on September 18, 1886.
In 1887, Hedin published a book about these travels entitled Through Persia, Mesopotamia and the Caucasus.