Most likely of Parthia; some accounts have them accompanied by many soldiers.
Also if they were from what was at one time part of the Persian Empire, some of the prophecies of Daniel and others were known from the time of the Exile. I had a discussion with my pastor about this on Sunday. Note the gifts. Gold frankincense and myrrh. Gold one would expect. The other two, one would suspect that the Magi, among others, were aware of the prophecies regarding His death. Many had expected the Messiah to be a political and military leader, yet I suspect that the Magi had at least an inkling that He was much more than that.