Saint Justin Martyr, Saint Epiphanius, and Tertullian (all three very early) report that the three Magi were Arabs.*
The reason for this is their reading of Isaiah 60:6 as a prophecy of the Adoration of the Magi:
“The multitude of camels shall cover thee, the dromedaries of Madian and Epha: all they from Saba shall come, bringing gold and frankincense: and shewing forth praise to the Lord.” (Isaiah 60:6, D-R)
“The kings of the Arabians and of Saba shall bring gifts.” (Psalm 71:10, D-R)
“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.
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