Magi (Latin, plural of magus) were advisors in royal courts on religious matters. The only references in the Old Testament is in a list the officials (one was Rab-Mag: chief of the magoi) of Nebuchadnezzar's court who occupied the "gate" of Jerusalem as it was being taken. They came to be identified by Greek observers as followers of Zoroaster and the religion that developed from his teachings, most likely priests of that religion.
The traditional dating of Zoroaster, however, probably rules out the Rab-Mag from being Zoroastrian priests. However some scholars place Zoroaster as far back as the reign of David. Whatever the case, the Rab-Mag who was there in 605 BC probably came to know Daniel, who was also an advisor to Nebuchadnezzar. If this was the case, the magi in the later Persian empire may have even converted to Monotheism.
If they had converted, or even been influenced by, Daniel, they would know of the Hebrew Scriptures. The most notable among these magi were those that came from "the east" to visit the young child Jesus while he was still living with his parents in the Jerusalem suburb of Bethlehem. They came as dignitaries to the castle of the titular king of Judea, Herod the Great.
One more magus, a Jewish advisor to the Roman proconsul Sergius Paulus of Cyprus. This man, Bar-Jesus by name, seeing his influence on the proconsul being threatened, stood against the preaching of the apostle Paul to devastating results. As a result of God's judgment upon Bar-Jesus, the proconsul believed in God and became a follower of Christ.
The word Magi derives from the Persian word "Magos" The name identifies them as priests of the Zoroastrian religion.