When did Christmas (the birth of Christ) first begin as a Christian celebration?

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St. Nicholas of Myra predates the Great Schism by over 600 years. His feast day traditionally was December 6th, but has been taken off the Catholic calendar recently. Orthodox celebrate the feast of the nativity on the same day Catholics do, but their celebration with gifts, etc... is 12 days after (like it is in Spain and parts of Louisiana) on 3 kings day (feast of epiphany (catholic) or Theophany (orthodox)). That's January 6th, which remembers when the 3 kings came, quite a bit later than Jesus' birth (unlike in popular depiction).

St. Nicholas's feast day, like St. Stephen's who the song "Good King Wenceslas" takes place on, is conflated with Christmas for a few good reasons. Namely charity. On St. Nicholas's feast day there is a tradition of children leaving their shoes out for him to come and fill.

The older feast is the feast of the annunciation which apparently goes back to when the Anno Domini system was established. It was and is March 25th, and that was the greater of the two feasts in those days. Like the annunciation of Mary and John the Baptist, Jesus' annunciation feast day is 9 months previous to His birth. So, even in 731 there is a tradition of having Christ's birth be celebrated on December 25th.

However, there's nothing particularly special about the times and seasons of liturgical feasts. They arise through tradition and not through scripture. But the indisputable fact is, it is old.

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When did Christmas (the birth of Christ) first begin as a Christian celebration?

According to St. John Chrysostom the custom of celebrating the Solemnity of our Saviour’s Nativity in his Homily for this Feast, that the Western Churches had, from the very commencement of Christianity, kept it on December 25th.

Here is what Dom Guéranger, the foremost authority on the liturgy in his Liturgical Year has to say about this matter:

The custom of celebrating the Solemnity of our Saviour’s Nativity by a feast or commemoration of forty days’ duration is founded on the holy Gospel itself; for it tells us that the Blessed Virgin Mary, after spending forty days in the contemplation of the Divine Fruit of her glorious Maternity, went to the Temple, there to fulfil, in most perfect humility, the ceremonies which the Law demanded of the daughters of Israel, when they became mothers.

The Feast of Mary’s Purification is, therefore, part of that of Jesus’ Birth; and the custom of keeping this holy and glorious period of forty days as one continued Festival has every appearance of being a very ancient one, at least in the Roman Church. And firstly, with regard to our Saviour’s Birth on December 25, we have St John Chrysostom telling us, in his Homily for this Feast, that the Western Churches had, from the very commencement of Christianity, kept it on this day. He is not satisfied with merely mentioning the tradition; he undertakes to show that it is well founded, inasmuch as the Church of Rome had every means of knowing the true day of our Saviour’s Birth, since the acts of the Enrolment, taken in Judea by command of Augustus, were kept in the public archives of Rome. The holy Doctor adduces a second argument, which he founds upon the Gospel of St Luke, and he reasons thus: we know from the sacred Scriptures that it must have been in the fast of the seventh month [Lev. xxiii 24 and following verses. The seventh month (or Tisri) corresponded to the end of our September and beginning of our October. -Tr.] that the Priest Zachary had the vision in the Temple; after which Elizabeth, his wife, conceived St John the Baptist: hence it follows that the Blessed Virgin Mary having, as the Evangelist St Luke relates, received the Angel Gabriel’s visit, and conceived the Saviour of the world in the sixth month of Elizabeth’s pregnancy, that is to say, in March, the Birth of Jesus must have taken place in the month of December.

But it was not till the fourth century that the Churches of the East began to keep the Feast of our Saviour’s Birth in the month of December. Up to that period they had kept it at one time on the sixth of January, thus uniting it, under the generic term of Epiphany, with the Manifestation of our Saviour made to the Magi, and in them to the Gentiles; at another time, as Clement of Alexandria tells us, they kept it on the 25th of the month Pachon (May 15), or on the 25th of the month Pharmuth (April 20). St John Chrysostom, in the Homily we have just cited, which he gave in 386, tells us that the Roman custom of celebrating the Birth of our Saviour on December 25 had then only been observed ten years in the Church of Antioch. It is probable that this change had been introduced in obedience to the wishes of the Apostolic See, wishes which received additional weight by the edict of the Emperors Theodosius and Valentinian, which appeared towards the close of the fourth century, and decreed that the Nativity and Epiphany of our Lord should be made two distinct Festivals. The only Church that has maintained the custom of celebrating the two mysteries on January 6 is that of Armenia; owing, no doubt, to the circumstance of that country not being under the authority of the Emperors; as also because it was withdrawn at an early period from the influence of Rome by schism and heresy. - The History of Christmas (The Liturgical Year)

And now for St. John Chrysostom in his own words:

There is something which long ago patriarchs painfully longed for, prophets foretold and the righteous set their hearts on. Now it has come to pass and had its consummation today. God was seen on earth through flesh and dwelt among humankind. So then, beloved, let us rejoice with great gladness. For if John leapt in his mother’s womb when Mary visited Elizabeth, consider that we have actually seen our Saviour born today. So now we, much more, must leap, rejoice, and be full of wonder and astonishment at the grandeur of God’s plan which exceeds all thought. Think how great it would be to see the sun coming down from the heavens, running on the earth and sending out its beams on everybody from here. If the sight of such splendour would astound all who behold it, consider and contemplate now how great it is to see the sun of righteousness (Malachi 4: 2), sending out beams from our own flesh and illuminating our souls. Long ago I set my heart on seeing this day, and not just seeing it, but seeing it with such a great gathering of people. I continually prayed that our place of meeting would be filled just as we now see it filled. So this has come to pass and had its consummation. Although it is not yet the tenth year since this day became clear and familiar to us, through your zeal, it has now flourished as though it was given from the beginning many years ago. Because of this one would not be far wrong in saying that it is both new and old: new because it has only recently been made known to you, old and venerable because it has swiftly become similar in stature to days long recognised and it feels as though it is of similar age to them. It is as with carefully bred and cultivated plants (the ones that reach an impressive height almost as soon as they are placed in the earth, and are laden with fruit). This day was known from the beginning to those in the West: now it has been brought to us and before the passing of many years, has swiftly shot up, bearing such fruit as you now see – the precincts full and the church packed with the crowd who have gathered together. Expect a repayment worthy of such zeal from Christ who is born today in the flesh. He will reward you for this enthusiasm. Your heartfelt zeal for this day is a great sign of your love for the one who is born. If it is necessary for anything to be contributed by us, your fellow servants, then, as we are able, we will contribute it; or rather whatever words the grace of God gives me to build you up. What do you wish to hear today? You want, of course, to hear about this day. I well know that many are still debating with each other about it, some arguing against, some for. Everywhere there is a lot of conversation about this day, some saying accusingly that the day is a new innovation which has only recently been introduced, while others contend that it is ancient and venerable, that the prophets spoke in advance about his birth and that from the beginning it was plain and clear to those living from Thrace to Cadiz. So come then and let us begin to give an account of these things. At the moment a day which is debated among you enjoys significant goodwill. If it became more familiar to you it is obvious that it would enjoy even greater zeal. Clarity of teaching will consolidate its position among you.

I have three convincing arguments to share with you through which we will know for sure that this is the time at which our Lord Jesus Christ, God the Word, was born. Of the three the first is that the news about the feast was swiftly circulated everywhere; it increased in prominence and the feast flourished. Gamaliel said of the proclamation of the Gospel – if it is from men and women it will come to an end, but if it is from God you will not be able to bring it to an end lest you are found to be fighting against God. I would confidently say of this day that, since God the Word is of God, far from it coming to an end, it is increasing in prominence each year and becoming better and better known. Within a few years the preaching of the Gospel had taken hold of the entire world even though it was shared in each place by ordinary people of little education like tentmakers and fishermen. The modest circumstances of its servants did it no harm, but the power of the message won over everything, brought to nothing whatever got in the way and demonstrated a strength of its own. - John Chrysostom - Homily on the Date of Christmas

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One of the earliest records of celebrating Christ's birthday is from St. Theophilus (✝181 AD), bishop of Cæsarea, who wrote:

We ought to celebrate the birthday of our Lord on what day soever the 25th of December shall happen.

Magdeburgenses, Cent. 2. c. 6. Hospinian, De origine Festorum Chirstianorum.

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