As anyone who paid attention in their primary Sunday School class knows, the Magi didn't show up at the stable when Jesus was born. They actually turned up some two years later and originally went to Jerusalem, asking around the city where they could find the one who was born to be King of the Jews. Herod, the paranoid king of Judea, heard about this and asked his advisers where the Messiah was to come from and they told him that the prophesy said that he would be born in Bethlehem. Herod called the wise men to him and pretended to be enthusiastic about their quest, asking them to come back and tell him when they find the baby, so that he may worship the child king, too.
Many historians question whether this event actually happened, because the only account of it is found in the Gospel of Matthew. This is true, but this action was also completely in character for Herod, who ruthlessly disposed of anyone he considered a potential rival, including his own son. Also, Bethlehem was a very small place and there wouldn't have been that many young male children in the town. Such a small body count would probably not have been considered worthy of reporting, considering the scale of other bloody acts which Herod perpetrated. In any case, this event- the Massacre of Innocents- is what the Coventry Carol is based on. The lyrics are rather dark: some of the Bethlehem mothers are singing of this tragedy in the form of a lullaby:
By, by, lully, lullay.
Lullay, Thou little tiny Child.
By, by, lully, lullay.
O sisters, too, how may we do,
For to preserve this day;
This poor Youngling for whom we sing,
By, by, lully, lullay.
Herod the King, in his raging,
Charged he hath this day;
His men of might, in his own sight,
All children young, to slay.
Then woe is me, poor Child, for Thee,
And ever mourn and say;
For Thy parting, nor say nor sing,
By, by, lully, lullay.
F.Y.I.- In 1940, after the bombing of Coventry on November 14, the BBC recorded a Christmas broadcast there, ending it with the singing of the Coventry Carol in the ruins of Coventry Cathedral.