The Magi and the Scriptures
'tis most probable that those wise men that came from the east were some that had received instruction from the holy writing of the Jews that had been carried into the east, first to Babylon, which was many hundred miles to the east of Judea, and afterwards to Shushan in Persia, which was yet a great deal further to the east. There was Daniel, that great prophet exalted to great dignity, and there was Nehemiah, and there was Elisha and Mordecai; and these had the prophecies of the Old Testament concerning Christ with them. And Daniel himself, who was set over the wise men of the east as their master, was himself a great prophet and wrote one of those books of Old Testament prophecy— whose prophecy of Christ is in some respects more particular than [that] of any other prophets— and probably wrote it in Persia when he was in great dignity there, and doubtless left instructions among the great and wise men of that eastern part of the world, whose master he was, concerning Christ, and probably might leave his own prophecy and the other prophecies of Scripture concerning the Messiah in their hands.
The word in the original that is translated wise men is magai. And learned men observe that there is to this day in those eastern parts of the world, and particularly in Persia, a sect called by this very name, Magai or Magi— and have been time out of mind— that have many parts of the Old Testament in their hands and have had 'em delivered down from their forefathers for a great many ages. And it is supposed that they received 'em from the Jews that were carried captive, and particularly from Daniel. 'Tis certain that those wise men or Magi that came from the east to see and to worship Christ, had some further instruction and direction than they had by the light of nature, and that two ways:
1. They were probably instructed [in] one of the prophecies of the Old Testament concerning the star that should arise out of Jacob. This they probably had from Balaam's prophecy. Numbers 24:17, “I shall see him, but not now: I shall behold him, but not nigh: there shall come a star out of Jacob, and a scepter shall arise out of Israel, that shall smite the corners of Moab, and destroy all the children of Sheth.”
Balaam himself, who prophesied thus, came out of the east and, it may be, from the same country that those wise men came from, and there might leave his prophecy.
2. They were instructed by immediate direction from heaven. There was [an] extraordinary hand of God stirring them up to come and seek Christ, and directing them how to find him; as is manifest, because God caused a miraculous star to appear for their direction. This star appeared to 'em in their own country together with an intimation from God that Christ now appeared in Judea, as appears by the second verse. They see this wonderful star and they knew it was a sign that Christ was come, and so came into Judea. It seems this star appeared to them a while and then disappeared; and they came to Jerusalem to inquire after Christ and, while they were diligently seeking him, the star appeared to 'em again, as in the next verse before the text: “When they had heard the king, they departed; and, lo, the star, which they saw in the east, went before them, till it came and stood over where the young child was.”11. Jonathan Edwards, "Seeking After Christ" Sermons and Discourses, 1739-1742 (WJE Online Vol. 22)