The Jihad's purpose was to bring about The Prophecy. They followed The Apprentice and Ragnarok.
Prior to the year 499 AC, Halethiel, the founder of Jihad, was a member of the Great Wizards Council. They announced the coming of the First Ragnarok and vanished. Centuries later, in 1264, another Council would disappear- for very different reasons. When the Council sought to meet on the matter of the Rok and determine a course of action, none could agree. But all of them sided against Lord Halethiel, who followed The Apprentice. So, when he left the Council, he placed traps into which, one by one, the other wizards fell and became magically imprisoned.
In the year 499 AC, Nisstyre, Minli, and Hathorne defeated the First Rok. Halethiel founded the Jihad, whose sole purpose was then to find ways to resurrect The Apprentice and destroy Ao. In the year 500 AC, Nisstyre cast a great spell over the Realms- robbing all of their memories, and eradicating all written histories. No one remembered what had happened, but the Jihad continued building- their memories of the events gone, but not their purpose. Those few of the Council who had escaped their magical prisons could remember nothing of Halethiel's actions, and so did not seek revenge.
In the year 800 AC, Lord Halethiel perished in a euphoric fit of prophecy. He died of Hemelia, as what he called one of the Chosen. His apprentice, Ethkin, then took up the banner and lead Jihad into the next century. After Halethiel's death, the remainder of the Wizard Council who had not escaped or perished in their prisons were freed. Those few whose memories remained intact were unable to exact revenge upon their dead tormentor, and so they went their own way. Twenty years later, a new Council was formed.
And so, under the leadership of Ethkin and his generals, the Jihad continued preparing. The year of 1264 brought a flurry of activity as a new Rok emerged, and The Voice once again made itself heard. And so the war continued to resurrect The Apprentice. The Jenovese would stop at nothing to achieve their objective. Some had even speculated that it was the movement of Jihad who was responsible for the disappearance of the second Council, ridiculous as it may seem.
They supported the Empire of Sephiroth because of a shared goal: resurrecting The Apprentice. The Empire of Sephiroth harboured The Black Mass, an army of the undead and mutants bent on fulfilling The Prophecy. It was for this reason also that Jihad is undead friendly.
Various factions came into play regarding both The Prophecy and other discoveries which might have helped or hindered The Jihad. One faction of note was the Pax Faerunis, a group devoted to destroying the Rok. While their goal of saving the world was noble, they only served to hinder the inevitable, and risk subjecting the world to a destruction without rebirth when next Ao sent another Rok, so believed The Jihad Another faction, calling themselves NyTek, also opposed the Rok. They opposed the Rok out of fear, according to The Jihad members.