What Was the Star of Bethlehem?

From the Bible:

The story of the birth of Jesus Christ contains an account in the Gospel of St. Matthew, Chapter 2, of the star of Bethlehem. The wise men who sought Jesus in his manger said,

“We have seen his star in the east.”…And, lo, the star, which they saw in the east, went before them, till it came and stood over where the young child was.

As the Bhagavad Gita puts it in the fourth Chapter:

Who knows the truth touching my births on earth
And my divine work, when he quits the flesh
Puts on its load no more, falls no more down
To earthly birth: to Me he comes, dear Prince!