O. Henry draws an analogy between his story of Jim and Della and the story of the Magi in the New Testament. Both stories take place at Christmas time. In fact, Christmas begins with the birth of Jesus in a stable in Bethlehem, where the Three Magi come to worship him. There seems to be a subtle hint in O. Henry's story that Della might be expecting a baby herself, although the author only hints at this because it might seem irreverent or sacreligious. When Jim comes home from work at seven o'clock, he looks "thin and very serious." Della thinks to herself:
Poor fellow, he was only twenty-two--and to be burdened with a family!
O. Henry ends that sentence with an exclamation mark to call attention to it. Jim is not burdened with a wife but burdened--or soon to be burdened, although he may not have been told yet--with a family. The "gift of the magi" may not be the watch-chain Della bought for Jim or the set of combs he bought for her. That would make two gifts, wouldn't it? And these young people are not magi. O. Henry seems to be hinting that Jim and Della are like Joseph and Mary in the Bible--which would suggest that their baby, if Della is indeed expecting a baby, is like the baby Jesus in Chapter 2 of The Gospel According to St. Matthew:
¶And when they were come into the house, they saw the young child with Mary his mother, and fell down, and worshipped him: and when they had opened their treasures, they presented unto him gifts; gold, and frankincense, and myrrh.
The gift of the magi in O. Henry's story would be the spiritual enlightenment of the two young people living in poverty in New York City. They realize that their love is more important than any material possession.