While Magi sounds like a Persian word, Kenneth E. Bailey in Jesus through Middle Eastern Eyes: Cultural Studies in the Gospels gave evidence that the Wise Men were for Arabia:

According to Matthew 2, the wise men arrived with gifts of gold, frankincense and myrrh. Rich people usually possess gold, and gold was mined in Arabia. But more specifically, frankincense and myrrh are harvested from trees that only grow in southern Arabia [Yemen = Sheba].
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Dr. Bailey pointed out that Justin Martyr identified the Wise Men as from Arabia:
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In the 1920s a British scholar, E. F. F. Bishop, visited a Bedouin tribe in Jordan. This Muslim tribe bore the Arabic name al-Kokabani. The word kokab means “planet” and al-Kaokabani means “Those who study/follow the planets.” Bishop asked the elders of the tribe why they called themselves by such a name. They replied that it was because their ancestors followed the planets and traveled west to Palestine to show honor to the great prophet Jesus when he was born. //

The wisemen or magi all came from present day Ethiopia. There were at least 12 in total not just three. Three magi or people who understand how to read the stars and three kings with each of them (9 kings). The three gifts mentioned of gold, myrrh & Frankincense are the same gifts that the queen of Sheba (Ethiopia & Yemen) had taken to king Solomon a few centuries before when she returned and introduced Jewish religion in Ethiopia. Being strong Jewish believers and always making pilgrims to Jerusalem to worship it is the Ethiopians outside of Israel who were anticipating the birth of the messiah. Ethiopian kings traveled from different parts of ancient Ethiopia to present the gifts to the Christ child to fulfill the prophecy of their sages. Maṣḥaf Kebur (መጽሐፍ ክቡር), an Amharic source published in 2008/9, lists the names of the three wise men and the kings who accompanied them to Jerusalem.