It was founded by the Xiongnu Juqu family, although they initially supported the Han official Duan Ye as prince, they overthrew him in 401 and took over the state for themselves.
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While he was in Dunhuang, that city was subdued in 420 and again in 421 by the Northern Liang king, Juqu Mengxun.
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He had been residing in Dunhuang for several years when that city was captured in 420 by Juqu Mengxun, the king of Northern Liang.
Juqu Anzhou (沮渠安周) (died 460) is viewed by some historians as a prince of the Xiongnu states Northern Liang, as after the state's territory was largely seized by Northern Wei in 439, and his older brother Juqu Mujian (Prince Ai) was captured by Northern Wei, Juqu Anzhou's brother Juqu Wuhui tried to hold out against Northern Wei, initially on Northern Liang's old territory, and later, after that attempt failed, at Gaochang.
Juqu Wuhui (沮渠無諱) (died 444) is viewed by some historians as a prince of the Xiongnu states Northern Liang, as after the state's territory was largely seized by Northern Wei in 439, and his older brother Juqu Mujian (Prince Ai) was captured by Northern Wei, Juqu Wuhui tried to hold out against Northern Wei, initially on Northern Liang's old territory, and later, after that attempt failed, at Gaochang.
When he was subsequently defeated and killed in 420 by the Northern Liang prince Juqu Mengxun, the Western Liang capital Jiuquan (酒泉, in modern Jiuquan, Gansu) fell to Northern Liang, and Princess Dowager Yin and Li Jingshou were captured.
In 439, Emperor Taiwu conquered Northern Liang, and took Juqu Mujian as a captive to the Northern Wei capital Pingcheng (平城, in modern Datong, Shanxi), but because of Princess Wuwei's sake, continued to honor Juqu Mujian as a brother-in-law with the title Prince of Hexi.