In this story, innocent Della and Jim, a young married couple, are the modern day Magi. The Magi were wise men who came and, out of love for Jesus as messiah, gave gifts to the infant child.
Della and Jim have an ironic mix-up when she sells her beloved long hair to buy a watch chain for Jim for Christmas. Jim meanwhile sells his watch to buy Della a costly comb and brush set she has long coveted.
Despite the mix up of each buying a gift that the other person could no longer use, Della and Jim are wise because they sacrificed for one another. They reveal their love in the lengths they are willing to go in order to please the other.
The message of the story is that sincere love captures the spirit of Christmas more perfectly than any gift we can possibly buy for another person.