Traditionally, especially in the gospel story related in Matthew, we glean from that passage that they are that they came from the East to Jerusalem. The ‘Magi’ had seen a star announcing the birth of the King of the Jews and they followed it. The Gospel doesn't mention that there were three Wise Men.
This idea comes from the three gifts, mentioned in Psalm 72:10-11:
“May the Kings of Tarshish and the islands bring tribute,
the kings of Sheba and Seba offer gifts.
May all kings bow before him, all nations serve him”
Many Christians attend special church services on January 6. The figures representing the three wise men, or the Magi, are placed in the crib scenes on this special feast of the Epiphany.
At Mildmay we do the same, holding a chapel service, having placed the three additional crib figures. Again, according to tradition, the Epiphany marks the twelfth night after Christmas and ends the Christmas season although I believe that in the Anglican church February 2nd ends the Christmas season.
Detail from the mosaic frieze in the Lady chapel in Westminster Cathedral by Robert Anning Bell, c.1930.
Image credit: Lawrence OP