Reprinted from February 2020, somewhat edited.
I am reading Mystery of the Magi: The Quest to Identify the Three Wise Men by Dwight Longnecker, and liking it. According to the author, the traditional - though non-biblical - explanation that they were Persian soothsayers is drawn mostly from later legends, yet has persisted because there has not been that much research, many scholars believing that the whole thing is ahistorical from the start anyway. Longnecker suggests that Nabateans, who were nearer, related to and intermingled with the Jews, and wealthy enough to send people on such errands, are a likelier crew.
As with the misunderstanding about the stable, the problem grew up because the center of the Church rapidly moved west after Pentecost, and local knowledge was lost. The key Nabatean city was Petra, which is to the south. But the territory of the Nabateans was generally east of Jerusalem, and Jews of the day would have thought of them as a people from the east. However, once you were writing stories and making mosaics in Asia Minor, you would look only due east, however far you had to cast your net, to find Magi. As there was a soothsayer caste called Magi, which waxed and waned in influence but was identifiable as associated with Persia, one would look to them as the easy explanation, even though they were moribund in the time of Christ.
Having names for the Wise Men, like Caspar, Melchior, and Balthasar is fun, as is the idea that we can (rather breathlessly these last two hundred years) have them come from different continents and be different colors. But that hasn't got much foundation - certainly not biblical - as Longnecker explains on his site. We don't know that there were three of them, either, only that they brought three gifts. They likely traveled in a large group with many camels.
I'd like to hear another side to the argument, certainly. Such theories spring up and are then shot down all the time. But at the moment I am using it as my explanation.