According to the New Testament, Mary and Joseph returned to Bethlehem for the census, but they found no welcome at any inn because those places were overflowing with others there for the same reason.

Angels praising Christ's birth (Luke 2:13-14) may be referred to with:

With the voices singing in our ears . . .

Another biblical reference may be found in the descriptions of silver pieces and gambling:

Six hands at an open door dicing for pieces of silver . . .

The soldiers gambled at the foot of the cross for Jesus's clothes (Matthew 27:35), and Judas betrayed Jesus to the Jewish leaders for thirty pieces of silver (Matthew 26:15).

In the third stanza, birth and death are discussed regarding Jesus.

This: were we led all that way for
Birth or Death? There was a Birth, certainly
We had evidence and no doubt. I had seen birth and death,
But had thought they were different; this Birth was
Hard and bitter agony for us, like Death, our death.

We can assume that the "Birth" is the birth of Jesus because the word is capitalized. The same may be said for the capitalization of "Death." This may refer to the Christian belief that Jesus was born as part of a larger endgame: one day He would be crucified as the perfect sacrifice to free believers from death in sin, as death in the Old Testament had no promise of salvation or eternal life in heaven. "Death" might also refer to the Christian belief that one must die for his or her old self to be saved. The fact that the Magi notes that this birth and death are unlike any he has previously seen might compel the reader to believe this event was miraculous and its meaning far-reaching.

However, some early historians also note that different Christian sects from various parts of the world believe that the birth and death of Christ took place on the same date, thirty-three years apart. Believers, regardless of the timing of these events, would realize that Christ was born only to die later. This fact, that the perfect Jesus would shoulder all sin, would cause believers to agonize over His death much as they might agonize over facing their own deaths.

The Magi return home:

But no longer at ease here, in the old dispensation...

"Dispensation" is defined as:

. . . an exemption from a law . . .

The old dispensation might refer to the historical practice of sacrificing defect-free young animals (e.g., lambs) so that one's sins would be forgiven for a certain length of time, a process requiring repetition of the same act over and over again. In the New Testament, the coming of Christ marked the ultimate sacrifice—offering the perfect Son of God as the ultimate sacrifice, for all time.

The Magi may note that the new dispensation does not sit well with him (or them) because it entails the sacrifice of Christ. In that the Magi were led to the manger in a supernatural way, they might also have known of the baby's ultimate sacrificial fate. It can be argued, then, that they recognized the enormous significance of Jesus's birth, but also mourned the end He would one day face—if they indeed received knowledge of this from God.

Consider the last two lines:

With an alien people clutching their gods.

The Magi returns to a culture where people do not believe in God, but believe instead in various gods. In seeing Mary and Joseph's baby, their hearts may well have been changed, as salvation is said to change people's hearts. The trip to the manger came without prior knowledge of the significance of what waited for them at their journey's end. But after seeing the child, as they returned home, the men may have been altered, and returning to the old way of life with its old beliefs was not desirable to them—they would no longer feel at home there.

I should be glad of another death.

The Magi may be referencing the Christmas story (and perhaps referring also the implications of Easter) and declaring that a return to one's old way of life before he or she was saved would be very difficult to face. Christians believe that this world is many times uncomfortable and alien; many look to death as a release from sin and the world's pain and problems—that death brings each person face to face with the Creator. The narrator may be stating that his death is preferable to facing the old ways in a life without the promise of salvation and one day living in God's presence.