As journey's go, the "Journey of the Magi" really blows. It begins and ends with suffering, and the Magi suffer a whole lot during the journey, too, what with all the bad weather and even worse people. But there's a bigger suffering going on here, too. There's the psychological suffering of the dying culture of the Magi, plus the physical and mental anguish we know this kid, Jesus, will experience as he grows up to become Christ. So what do we make of all this? We think Eliot's reminding us that a whole lot about spirituality and religion revolves around suffering, and that suffering often comes with religious transformation.
The physical suffering that the Magi go through in the first part of the poem is only a precursor to the horrible spiritual suffering they'll go through by the end.
The Magis' despair at the end of the poem tells us that widespread spiritual change isn't necessarily good for everyone. Eliot is highlighting the awful awkwardness of religious rebirth.