Three Magi visited Jesus, yes?

According to the Book of Matthew. However, it is probably not a historical event. Not only are all of the stories of Jesus' youth somewhere between myth and difficult to verify, but the description of the Magi in Matthew has much more to do with Greco-Roman perceptions of the Magi and Zoroastrianism than their actual practices. I've discussed that more here.

Zoroastrians view Jews at that time?

This is still a good question though, because it does influence what Matthew may have been trying to communicate with the story. Unfortunately, it is almost impossible to say what Zoroastrians thought of just about anything in the 1st Century CE. Records from the Parthian Empire (of any sort) are few and far between, and the terminology of most contemporary Greco-Roman sources makes it clear that they just barely understood what Zoroastrianism believed about itself, let alone other peoples.

Even Josephus' Antiquities of the Jews provides almost know information here. The Magi are never mentioned, and the Parthians more generally are only addressed as political actors. The closest we get to specific Judeo-Zoroastrian relations from Josephus is a brief reference to how the former High Priest and King of Judea Hyrcanus was taken captive in a Parthian invasion and subsequently released during the reign of Herod the Great. Even then, the story is mostly about Herod and Hyrcanus' politicking with just this small snippet of religious relations:

But when Hyrcanus was brought into Parthia, the King Phraates treated him after a very gentle manner; as having already learned of what an illustrious family he was. On which account he set him free from his bonds; and gave him an habitation at Babylon: where there were Jews in great numbers. These Jews honoured Hyrcanus as their High Priest, and King; as did all the Jewish nation that dwelt as far as Euphrates. Which respect was very much to his satisfaction. (XV.ii.2)

That lines up with the few administrative and financial records we have from the time as well. The Parthian government and their Iranian subjects were content to let non-Zoroastrians exist more or less uninterrupted, with little care or thought about their particular cultures. The important thing was keeping the subjects happy and preventing incursions or rebellions. It was a period of mass decentralization, and most Zoroastrians don't even seem to have been interested in what other groups of Zoroastrians did, let alone anyone else.