I mean, the US, British and Russian did conquer Afghanistan... just not permanently
The area that is now Afghanistan has been part of various larger nations and non-indigenous empires for most of its history. The various incarnations of the Persian Empire, the Argead Empire, the Maurya Empire, the Kushan Empire, the Ghaznavid Empire, the Seljuk Empire, the Mongol Empire, the Timurid Empire, the Safavid Empire, the Mughal Empire.
The modern state of Afghanistan is relatively young, deriving from the indigenous Durrani Empire (the ones India loves to cast as the villains in their fascist propaganda films). The whole 'Graveyard of Empires' thing is sort of bullshit historically, Afghanistan has been a prosperous and stable part of of many, many Empires. It mostly derives from the ability of the Afghans in the 19th and early 20th centuries to preserve their independence despite being caught between the sphere of influence of the two dominant European powers of the day.
Incidentally, the Durrani flag is amazing. Check out this Lord of the Rings shit.
They don't put that in the films.