There is a character called Martia (odd spelling. I don't understand why) and her story was given in letters to some guy who presented it to our narrator:
If her story is true—and I never read a piece of documentary evidence more convincing—these letters constitute the most astonishing revelation ever yet vouchsafed to this earth.
But her story cannot be true! ... Roughly epitomized, Martia's story was this:
For an immense time she had gone through countless incarnations, from the lowest form to the highest, in the cold and dreary planet we call Mars, the outermost of the four inhabited worlds of our system, where the sun seems no bigger than an orange, and which but for its moist, thin, rich atmosphere and peculiar magnetic conditions that differ from ours would be too cold above ground for human or animal or vegetable life. As it is, it is only inhabited now in the neighborhood of its equator, and even there during its long winter it is colder and more desolate than Cape Horn or Spitzbergen—except that the shallow, fresh-water sea does not freeze except for a few months at either pole.
All these incarnations were forgotten by her but the last; nothing remained of them all but a vague consciousness that they had once been, until their culmination in what would be in Mars the equivalent of a woman on our earth.