"Journey of the Magi" begins with an allusion, quoting and adapting a 1622 sermon by English bishop Lancelot Andrewes. Eliot adapts Andrewes's discussion of the magi's arduous journey by switching the pronoun from third-person to first-person plural, setting up the rest of the poem's dramatic monologue.
The quote makes it clear from the beginning that the journey of the magi is not a cheery tale, but rather one of hardship and spiritual skepticism. It also introduces an obvious anachronism. That is, the story of the magi—though there is no definitive version—is set around the time of Christ's birth, and the speaker here is meant to be one of the original magi. The speaker, then, is quoting a text written over a millennium and a half later than the original journey; Andrews wouldn't have composed it until long after the speaker's own death.
This contradiction isn't accidental—perhaps it signals the way that, in the eyes of believers, the Christian story transcends the logic of time and space. Or maybe it speaks to the personal context of this poem. At the time of its writing, Eliot had recently converted to Anglicanism (the Church of England). He was frustrated by the way that people believed his conversion to represent a kind of comfortable settling-down, when he saw himself as—like the magi—having just "begun a long journey underfoot." Perhaps, then, this quote speaks to the way that spiritual transformation is—and always has been, and always will be—a difficult process. The poem thus straddles three moments in time—its 20th century composition, Andrewes's 17th century, and the biblical era—linking them all through the continuity of religious hardship.
The alliteration of "cold coming" sends a chill through the line, and the forcefully consonant /p/ sounds of "deep" and "sharp" in line 4 make the reader anticipate that what follows will chronicle a tough and challenging time. The repetition of "journey" in line 3 and the alliteration in lines 4 and 5 also help establish the atmosphere of a long and challenging voyage:
The ways deep and the weather sharp,
The very dead of winter.'
After line 5, the poem's dramatic monologue takes over, providing the reader with details of the journey and insight into the magus's state of mind. It's also worth noting that the mention of "dead[ness]" here subtly anticipates the magus's rhetorical question in lines 35 and 36: "were we led all that way for / Birth or Death?"