It is based on a 17th century painting called “Massacre of the Innocents” by Peter Paul Reubens. The painting is inspired by the biblical story of Herod hearing of the birth of Jesus and ordering all of the male children under the age of two in Bethlehem to be executed so there would be no males capable of replacing him as king of the Jews.
As with most biblical stories, there isn't a lot of proof that it actually happened however. Although historically Herod is believed to have been a pretty sadistic guy who committed a lot of terrible crimes, even killing most of his family.