Where did these wise men come from? As explained in Francis W. Upham's book, The Wise Men (1869), there are two Greek expressions for "East" used in Matthew 2:1-2, 9.
Firstly, in verse 1: "Now after Jesus was born in Bethlehem of Judea in the days of Herod the king, behold, wise men from the East came to Jerusalem." "The East" is ton anatolon, the common Greek expression for "eastern regions," particularly those far distant.
Secondly, in verses 2 and 9:
"Where is He who has been born King of the Jews? For we have seen His star in the East, and have come to worship Him." . . . When they heard the king, they departed; and behold, the star which they had seen in the East went before them, till it came and stood over where the young Child was.
In both verses, "the East" is te anatole, literally, "the rising," which could mean either that the magi saw the star when it first appeared—at its rising—or that they saw it from their vantage point east of Jerusalem, the direction in which the sun rises. The latter is more natural and to be preferred. The magi, while in a place east of Jerusalem, saw the star, and it led them west.
The more important expression, then, appears in verse 1. The magi were from "the East," a land or lands far away from the Judea of 4 BC. This could not mean Arabia for two reasons: 1) The New Testament explicitly identifies Arabia in Galatians 1:17, so why not here as well? 2) Though we know Arabia is east and south of Palestine, commonly expression of the time considered Arabia to be in the south, not the east. Further, any nearby country would have been named specifically and does not qualify as "distant."
In the distant east lay the Parthian Empire, little known today, but it rivaled the Roman Empire for hegemony of the world at the time. Parthia included all the conquered lands of Babylon, Persia, Bactria, and many other countries on the east side of the Euphrates River. It was to these lands that the Assyrians had exiled some of the ancient house of Israel, and many of their descendants had remained in the region.
The Cyclopedia of Biblical, Theological, and Ecclesiastical Literature by John J. McClintock and James Strong, in its article "Magi," says that some of the ancient magi claimed Abraham as their ancestor. If this were true, it would add evidence that the magi were Israelites who were desirous to honor the One who could be their rightful King, especially since the miraculous star made His birth so auspicious. (For more on the magi being Israelites from Parthia, please see The "Lost" Ten Tribes of Israel . . . Found! by Steven M. Collins, pp. 205-278.)
Altogether, this biblical and historical evidence indicates that the magi of Matthew 2 were not pagan astrologers whose observations of the heavenly bodies led them to the infant Jesus. Rather, they were probably God-fearing descendants of the exiled house of Israel who were led to Bethlehem miraculously, likely by an angel, just as they were "divinely warned" to flee back to their homeland after their visit (Matthew 2:12).
Once again, we see that if we are willing to break free of the bonds of the world's traditions, the historical evidence backs up the Bible record and leads us to the truth.