There is a space between Malachi and Matthew of about 400 years. During this 400 years, much happened that is not recorded in scripture. At the end of the Old Testament, the Jews have returned from captivity, have rebuilt Jerusalem and the temple, and are under governance (at least nominally) by the Persian Empire. At the beginning of the New Testament, Israel has been divided into separate territories, overseen by Rome. How did it get from the one case of affairs to the other?
In Daniel 2:24-45, God gives Nebuchadnezzar, through Daniel, the explanation of a dream. This dream lays out the general case of affairs for the next several hundred years. The dream is of a statue, composed of various materials. The head of gold is Nebuchadnezzar, king of the Babylonian Empire. That kingdom will be replaced by a kingdom represented by the silver chest: the Medo-Persian Empire (usually referred to as the Persian Empire in secular history – Medo-Persian refers to the Persian Empire's conquering of the Medes, and then of the Medes becoming the ruling class). Later in the book of Daniel, as well as in other histories, this is recorded. This empire will be replaced by the Greek, or Macedonian Empire: the bronze belly. History tells us how the Persian empire was defeated by the Greeks, and of how Alexander the Great came to rule a vast area of the world. The dream then states that this kingdom will be replaced by a fourth kingdom, which is represented by the iron legs and the feet mixed of iron and clay. This kingdom is the Roman Empire, which is what we find in the New Testament. This is further made apparent by the mention of the fifth kingdom, the rock not cut by human hands that grows into a mountain. That rock and mountain is the church.
Without going into a great deal of historical detail (hopefully just enough to explain things without getting boring), let us consider how things went from Babylon to Rome. In Daniel 5, it is recorded how the Medo-Persians conquered Babylon almost effortlessly. From this point the Persian Empire continued to spread (and it was during this time that the Jews were permitted to return to Jerusalem and the surrounding area). Eventually, it attempted to invade Greece, which was at this point a collection of city-states. The result was disastrous for the Persians, who were soundly defeated and weakened. This enabled Alexander the Great, some years later, to effectively conquer the world. It was though his efforts that the Greek in which the New Testament is written was spread and made the common language. After Alexander's death, the kingdom was split into three parts, and Judea became a much fought over location, changing hands several times.
Eventually, Israel won independence through uprisings led by the Maccabees (note: it is this occasion that the celebration of Hanukkah is a memorial for). As the line of the Maccabees dwindled over time, and through some murky politics, the Herodian family came into power, with the aid and support of Rome. In order to gain and maintain their power, they allied themselves with Rome, and Judea, Galilee, and Samaria become Roman territories. Technically not part of the Roman Empire, but subject to it. This state of affairs would last until the AD70s, when Rome destroyed Jerusalem and a great many Jews in the Jewish War. At that point, this area of the world was formally made part of the Roman Empire.
Yes, I know this is an oversimplified view of history, but it gives you a rough idea of 400 years, in the space of a few hundred words. Hopefully it helps make the transition from Malachi to Matthew more understandable. For more information, I recommend “Reader's Digest Atlas of the Bible” (Pages 144-171) and “History and Geography of the Bible” by Bob and Sandra Waldron.
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