From the same place they get the idea that...
1) Adam and Eve bit into an apple, causing them to be cast out (the scriptural record is silent on the KIND of fruit),
2) angels have literal wings (ornamental or symbolic figures such as Cherubim and Seraphim are rendered with wings, but actual angels are not recorded as having wings),
3) there were three wise men (the number of GIFTS recorded was three, but the number of wise men is not mentioned) who...
4) visited the baby Jesus in the manger (he was actually a "young child" by then and living in a "house". The shepherds "came with haste and found ... the babe". The wise men came later.)
...etc. etc...
The written word does not corroborate many traditions.
The New Testament was written not as history but as testimony and some parts were not elaborated on because it was assumed people knew what a Magi was and where they came from. Magi came from Rome's deadly enemy - Parthian Persia. They were the Holy Men of the Zoroastrian faith.
Jesus is said to have had royal blood which means his cousin St. John the Baptist was also of royal blood - something that makes men rally around a person. And being of royal blood does not really mean you had to be rich, etc.
Taken in that context, King Herod is informed at Zoroastrian envoys from Rome's eastern enemy the Parthian Persian empire have arrived after hearing about the birth of a son from a group that claims royal ancestry.
If Jesus belonged to a group like that then they would have had allies in the Jewish community in Babylon and Persia and they sent word of his birth.
The Persian Shah arranges for a diplomatic mission to cause his Roman enemies problems. Herod attacks this group as traitors. St. John the Baptist's family flee to the wilderness. Herod assumes the family of Jesus wil try to escape to Persia so sends word to the guards at the Persian/Roman border.
Instead, Jesus' family flees to Egypt where there are no border checks and where there is a large Jewish community to hide in.
Isaiah 6:2 “Above him stood the seraphim. Each had six wings: with two he covered his face, and with two he covered his feet, and with two he flew.”