Goofs

There is a sign that says "Bethlehem" written in English.

In the episode where Mary sees Romans on horses, one soldier has no stirrups (historically correct) but the other clearly has American Western / Spanish style stirrups. Roman cavalry never had stirrups, as these did not appear until centuries later in India.

The Romans soldiers on horseback are using stirrups. The Roman army did not start to use them until about 600 C.E.