"After Jesus was born in Bethlehem in Judea, during the time of King Herod, Magi from the east came to Jerusalem."
Mary and Joseph were from Nazareth, but being descendants of King David, they needed to travel to Bethlehem in order to be counted for the census. While there, Mary gave birth to Jesus, thus fulfilling the Messianic prophecy that He would come out of Bethlehem. Matthew gives us the timeframe, during the reign of King Herod.
About this time, Magi came from the East, having seen the star in the sky, a sign of the Messiah’s birth. They came to Jerusalem first, perhaps believing the king would rejoice with them at the birth of the Savior. But after they found the child, they were told by God in a dream to avoid King Herod. Herod was a wicked king and ordered all the young boys of Bethlehem under the age of two years to death. Due to his bloodthirst for power, the Magi avoided him and went home another way.
