Just to first make clear, Matthew 2:1-2 doesn't refer to three Wise Men. Instead, it just says "Wise men (Magi) from the east." Are you asking about when the tradition of there being three started or just about the Biblical version of Magi from the east?

Spell check can be soooo annoying at times re spelling in my question above. However one can still get the gist of my query.