The Three Wise Men weren't Jewish and held various religious beliefs.
In the Gospel of Matthew it states, “Now when Jesus was born in Bethlehem of Judea in the days of Herod the king, behold, wise men from the East came to Jerusalem” (2:1). The original Greek term that describes these men is magos, which was then carried over into the Latin magi (plural form of magus).
According to Fr. William Saunders, the word has four possible meanings.
(1) a member of the priestly class of ancient Persia, where astrology and astronomy were prominent in biblical times;
(2) one who had occult knowledge and power, and was adept at dream interpretation’ astrology, fortune-telling, divination, and spiritual mediation;
(3) a magician; or
(4) a charlatan, who preyed upon people using the before mentioned practices.
Biblically speaking the word magi was used to described the prophet Balaam (cf. Numbers 22–24) and those in the court of King Nebuchadnezzar in Babylon, “And in every matter of wisdom and understanding concerning which the king inquired of [Daniel, Hananiah, Mishael, and Azariah], he found them ten times better than all the [magi] magicians and enchanters that were in all his kingdom” (Daniel 1:20). This identification of magi in Babylon corresponds to a common belief among historians of where the Magi were from and what religion they believed in.
Many historians and biblical scholars believe, “While originally polytheists, under Persian influence the magi became Zoroastrians, one of the first monotheistic religions.” According to BBC, “Zoroastrians believe there is one God called Ahura Mazda (Wise Lord) and He created the world.” The Magi also studied the stars and were familiar with many different ancient prophecies.
So while the Magi didn’t believe in the same God as the Hebrews, they were familiar with the idea of a monotheistic religion and may be why they were eager to adopt the new religion of Christianity. According to various traditions, the Magi returned to the East and were eventually baptized by Saint Thomas the Apostle and are still regarded by some churches as Christian saints.