There was a great thread on this subject years ago. It is unlikely that the Magi were following a single prominent feature in the sky like a comet or supernova. Scripture itself pretty much confirms this. When the Magi showed up in Jerusalem and told Herod they had “followed” a star to get there, Herod had to ask his scholars and advisors when the star appeared. If this “star” had been something as remarkable as a comet or supernova, he wouldn’t have needed to ask about it because it would have been clearly visible to everyone.
Since God was involved, maybe we can speculate about the Goodyear Blimp?
From Matthew 2 (NIV)
The Magi Visit the Messiah
After Jesus was born in Bethlehem in Judea, during the time of King Herod, Magi[a] from the east came to Jerusalem and asked, “Where is the one who has been born king of the Jews? We saw his star when it rose and have come to worship him.”
When King Herod heard this he was disturbed, and all Jerusalem with him. When he had called together all the people’s chief priests and teachers of the law, he asked them where the Messiah was to be born. “In Bethlehem in Judea,” they replied, “for this is what the prophet has written:
“‘But you, Bethlehem, in the land of Judah,
are by no means least among the rulers of Judah;
for out of you will come a ruler
who will shepherd my people Israel.’”
Then Herod called the Magi secretly and found out from them the exact time the star had appeared. He sent them to Bethlehem and said, “Go and search carefully for the child. As soon as you find him, report to me, so that I too may go and worship him.”
After they had heard the king, they went on their way, and the star they had seen when it rose went ahead of them until it stopped over the place where the child was. When they saw the star, they were overjoyed.
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It almost sounds like they saw the star when it rose and that got them on their journey to Israel. The scripture does not say if they followed the star to Israel.
If they were following the star, why would they need to ask Herod? Unless they had to ask so prophecies would come true (Jesus fleeing to Egypt, and upon returning too afraid to settle in Bethleham so it was Nazareth instead).
Also - the scripture seems to indicate that the star reappeared after they saw Herod.