All three nations, Madian, Epha, and Saba, are Arab nations. Moreover, Saba was known especially for its frankincense. Couple this with the witness of the Psalms:

“The kings of the Arabians and of Saba shall bring gifts.” (Psalm 71:10, D-R)

Both verses complement one another and refer to the coming of the Magi described in Saint Matthew’s Gospel. Hence, there were not likely Chinese, Babylonian, Persian, Indian, or African.

These Arab people are closer to Judea and thus they would be able to travel there more quickly rather than for months (or years). Also, these Arab people may have known the prophecy of Balaam of Moab:

“I shall see him, but not now: I shall behold him, but not near. A STAR SHALL RISE out of Jacob and a sceptre shall spring up from Israel: and shall strike the chiefs of Moab, and shall waste all the children of Seth” (Numbers 24:17, D-R)

By the way, Cornelius Lapide notes that the Madians are dark skinned and this is why there is usually a black skinned Magi depicted in most Nativity Scenes.

* Cornelius a Lapide reports these Fathers and supports the reading that the three Magi were Arabs.