Concerning the group of magi who came to find the King of the Jews, Matthew 2 says only that they arrived from the East by following "His star." According to other classical writers, the term magi meant either those who practiced magical arts (as in Acts 8:9 and Acts 13:6) or Eastern priest-sages usually associated with the area near Babylon and said to look into the mysteries of the universe through astronomy, astrology, and natural sciences. The latter makes the most sense here.
Matthew's account does not even list the number of magi, but their knowledge of the expected Messiah (Christ) should be no surprise. During this time, many Jews lived in dispersion, scattered throughout the Roman Empire and the East. With them they carried the hope of the Messiah as promised in what we call the Old Testament. As evidence, we need look no further than Yemen, whose kings professed the Jewish faith from around 120 B.C. to the sixth century of our era.
However, their understanding of prophecy proved somewhat limited, since they did not know where Christ would be born. Instead, they followed a particular "star" to Judea and then headed for Jerusalem, the capital city and the place one might expect to find a king.
The authorities of Israel directed the magi to Bethlehem, according to the prophecy in Micah 5:2. Guided again by the star, though they likely only regarded this as confirmation of the location, the magi found and paid homage to Christ.
While some have claimed the account of the magi is nothing more than a myth designed to show how Jesus met the expectations of the Jewish Messiah, the account actually undermines this claim. The Jews of the time expected a Messiah the whole world would submit to and honor. The appearance of only a few magi seems almost a caricature of those expectations.
Adapted from The Life and Times of Jesus the Messiah by Alfred Edersheim (Book II, Chapter VIII).