The title, mercifully, is pretty self-explanatory. "The Journey of the Magi" is a story about… the journey… of the Magi. Great. But of course, there's more to it than meets the eye. There always is with Eliot.
After all, he could have just called it "The Magus," or "The Three Wise Men," or "The Birth of Jesus as Told by a Magus," or what have you. That means that the actual phrasing of the title is significant in a couple of ways. For one, "The Journey of the Magi" sounds a whole lot like "The Gift of the Magi," which is a classic short story by O. Henry.
Also, the "Journey" part of the title packs quite the meaningful punch. Not only significant because the story details the literal journey of these men, but also because the poem describes a figurative journey. That is, the journey from pagan to Christian, the conversion of the author from agnostic to devout, and the drastic change that Christ's birth brings to the world as we know it.
So the "Journey," here, is all kinds of multifaceted. In order to narrow it down to something manageable for the purposes of the poem, it becomes "The Journey of the Magi." But in reality, it's a whole bundle of different journeys and changes, of which the Magi are a mere part.