the Magi were Zoroastrian..............
we 3 kings of Orient are
At that time there was still a lot of leftover influence from when Israel was captive. Remember that the prophet Daniel spent a lot of time with Cyrus, who allowed the Hebrews to return to the land. There was likely records of the prophecies of Daniel, among others, that the Persians were aware of, as well as a Jewish remnant there.
There is a sizable Zoroastrian community here in Houston, mostly Iranian. They do not like the mullacracy, and have contacts with dissidents in Iran. The Shah’s son has stopped by a number of times, and is highly respected.