We will never know for sure where the Magi are truly from. There are many legends that abound in relation to these little known personages who are known to us thanks to the Gospel of St Matthew.
From old Persian language, a priest of Zarathustra (Zoroaster). The Bible gives us the direction, East and the legend states that the wise men were from Persia (Iran) - Balthasar, Melchior, Caspar - thus being priests of Zarathustra religion, the mages. Obviously the pilgrimage had some religious significance for these men, otherwise they would not have taken the trouble and risk of travelling so far. But what was it? An astrological phenomenon, the Star?
• Church of Nativity in Bethlehem, was erected in 329 by Queen Helena in the area it was believed to be where Jesus was born. In 614, The Church was saved from destruction by the Persian rampage because of the mosaic of the Magi dressed in Persian Garb on the floor of this church. - Wise Men and Women Still Seek Him Today
Another local legend about the origins of the Magi comes from Marco Polo.
"The Travels" of Marco Polo translated by Ronald Latham for Penguin Classics and the first story Marco Polo relates about Persia proper is about the three Magi.
Marco Polo's version relates the version of the story prevalent in Iran in the middle of the 12th century with specific references to places in Iran making it very interesting reading. I also looked up Magi in the dictionary and learnt that it is indeed plural for magus, meaning "a: a member of a hereditary priestly class among the ancient Medes and Persians; b often capitalized : one of the traditionally three wise men from the East paying homage to the infant."
Here is the Ronald Latham translation:
In Persia is the city called Saveh, from which the three Magi set out when they came to worship Jesus Christ. Here, too, they lie buried in three sepulchres of great size and beauty. Above each sepulchre is a square building with a domed roof of very fine workmanship. The one is just beside the other. Their bodies are still whole, and they have hair and beards. One was named Beltasar, the second Gaspar, and the third Melchior.
Messer Marco asked several of the inhabitants who these Magi were; but no one could tell him anything except that they were three kings who were buried there in days gone by. But at last he learnt what I will tell you.
Three days farther on, he found a town called Kala Atashparastan, that is to say Town of the Fire-worshippers. And that is no more than the truth; for the men of this town do worship fire. And I will tell you why they worship it. The inhabitants declare that in days gone by three kings of this country went to worship a new-born prophet and took with them three offerings -gold, frankincense, and myrrh - so as to discover whether this prophet was a god, or an earthly king or a healer. For they said : 'If he takes gold, he is an earthly king; if frankincense, a god; if myrrh, a healer.' - The Magi, revisited
There is a fairly recent letter by a Bangladeshi doctor who worked in Iran which contains a tidbit of interest on this subject.
Information on the church converted from a temple by the wise man in Urumia
To whom it may concern,
Salam. I am a Bangladeshi doctor who worked in Iran under Ministry of Health from 1985 to 94. During my stay in Iran I travelled many areas-having archeological importance. The ancient churches of Iran was also included in my interest. Once on the way to the Ghara Kilisha I was in Urumia. In the city I had a chance of visiting one church. I have forgetten the name of the chuch but the thing which I still remember that there were two chuches in the same compound, One was recent made and the ancient one was under the ground. May be this was an assurian church. I was told by a local person that the ancient structure was not a church, rather it was a Zorostrian temple. One of the 3 wisemen who visited new born Jesus was a Zorostrian Priest who after the crucifixation started practising Christianity & converted the temple to the christian church. At that time videography was mamnoo in Iran so I could not do any videography.
Dr. N. D. R. - worked in Kerman Province
Anne Catherine Emmerich has this to say about the Thre Wise Men in her visions of the Life of Jesus Christ (Page 248):
Mensor, the brownish, was a Chaldean. His city, whose name sounded to me something like Acajaja, was surrounded by a river, and appeared to be built on an island. Mensor spent most of his time in the fields with his herds. After the death of Christ, he was baptized by St. Thomas, and named Leander. Seir, the brown, on that very Christmas night stood prepared at Mensor's for the expedition. He and his race were the only ones so brown, but they had red lips. The other people in the neighborhood were white. Seir had the baptism of desire. He was not living at the time of Jesus' journey to the country of the Kings. Theokeno was from Media, a country more to the north. It lay like a strip of land further toward the interior and between two seas. Theokeno dwelt in his own city; its name I have forgotten. It consisted of tents erected on stone foundations. He was the wealthiest of the three. He might, I think, have taken a more direct route to Bethlehem, but in order to join the others he made a circuitous one. I think that he had even to pass near Babylon in order to come up with them. He also was baptized by St. Thomas and named Leo. The names Caspar, Melchior, and Balthasar were given to the kings, because they so well suited them, for Caspar means "He is won by love"; Melchior, "He is so coaxing, so insinuating, he uses so much address, he approaches one so gently"; Balthasar, "With his whole will, he accomplishes the will of God." - 11. Journey of the Three Kings To Bethlehem