Where did the Magi come from?
The author of Matthew's Gospel says that the magi came from the east, following a star. The magi were priests of the Zoroastrian religion which the Jews had encountered during the Babylonian Exile. So, the magi would have come from Persia or Babylon, where Zoroastrianism was practised.
However, John Shelby Spong (A Bishop Rethinks the Birth of Jesus) says that among people he knows in New Testament circles, the universal assumption is that Matthew's magi were not actual people. If they were not real people, the magi of Matthew's Gospel did not come form anywhere.