The Chinese, wishing to declare war on the Xiung-nu [and] to wipe them out...desired to establish contact with the Yueh-chih; but the road to them led through the territory of the Xiung-nu. The emperor called for volunteers. -Sima Qian, Records of the Historian

Zhang Qian answers the call.
Zhang Qian...enlisted in a mission to seek out the Yueh-chih...[he] set out to cross the Xiung-nu territory. Almost immediatedly he was caught and sent to the Great Khan. The Khan held Zhang Qian for ten years; the khan gave him a wife by whom he had a son...in the course of time he was permitted greater freedom, Zhang Qian watched for his opportunity and succeeded in making an escape with his men. -Sima Qian, Records of the Historian
He and his company made for the region where the Yueh-chih supposedly lived, only to find that they had moved even further west. As his party traveled on, they encountered prosperous and peaceful countries that welcomed them. Zhang Qian was surprised by the wealth of these lands, particularly their jade, their agricultural products like grapes and wine, which were unknown in China, and their powerful and magnificent horses.
These Heavenly Horses were believed to have been born from pools of water and to sweat blood. They were also larger in size and of greater speed and endurance than Chinese horses. And since their enemies, the Xiung-nu, were excellent horsemen with superior horses, these Heavenly Horses could help even the Chinese army's chances against the nomads. Zhang Qian also found that these countries were quite interested in the Chinese goods he and his party carried. They especially prized silk which only the Chinese knew how to produce.
Zhang Qian reaches the Yueh-chih.
Eventually Zhang Qian reached the Yueh-chih. But his hopes of forming an alliance were disappointed; after their war with the Xiung-nu, the Yueh-chih had settled into a rich and fertile land, seldom harassed by robbers. The people decided to enjoy this life of peace. He remained there for a year and then started for home. -Sima Qian, Records of the Historian
But his return route took him again through Xiung-nu territory. He was again captured and held a year before managing to escape with his wife, his son and one companion, returning to Changan in 125 BCE, thirteen years after setting out.
Although his adventures failed to produce an alliance against the Xiung-nu, it strengthened Chinese resolve to rid themselves of the Xiung-nu threat. Now the Han rulers understood that there was much opportunity for trade and wealth if they could establish contact with the countries of the west. Also, if they could acquire some of the Heavenly Horses, the Han armies would be stronger and more able to defeat future threats.
With this in mind, the Han emperors sent armies against the Xiung-nu, pushing the nomads away from the Han frontier. The Han armies left strong garrisons behind to protect the routes to the west. These routes quickly filled with merchants carrying Chinese silk, metalwork and art and returning with jade, wine, horses and other luxury items.
In the end, Zhang Qians adventures led to the start of a long march of merchants across great stretches of land and through wide spans of history. The trade links which resulted from his first trek and later expeditions opened regular trade between China, India, the Roman empire and all the areas in between.