Funny enough, they did!

We often consider the Roman road network in terms of the ultra-nice highways paved with regular blocks of stone, Via Munita, but much of it was Via Glareta, well-constructed gravel roads; and an unknown but also considerable amount as Via Terrena, roads of packed earth.

The fact is that any regularly designed and constructed road is a huge improvement over the old “So many people and animals have been down this path that it’s kind of clear now” that characterized most thoroughfares in Classical Antiquity, so the Romans bringing any of the three to an area was a major boon. The nice stone roads were used for high-traffic areas and areas that expected to see regular military movement; gravel roads were more common for connections to the innumerable minor towns of the Empire, and dirt roads for when a road had to be constructed ultra-quick (such as to clear the path for a military campaign) or for very poor/low-value routes (like to some larger individual farms).