Sting included this song in his ...Winter's Night project which was recorded live at Durham Cathedral. He said it had a very macabre image of the poet walking on a cold dark winter's night and being confronted by the infant Jesus burning; then suddenly he realises it's Christmas Day, i.e. Christ suffering for the sins of Man.
The poet concerned is Robert Southwell (1561-95), who was also a Jesuit priest. Unfortunately, Christ wasn't the only one who suffered for the sins of Man; in 1595, Southwell was tried for treason, his "crime" being that he had worked as a missionary at a time when Catholicism was proscribed by law. He was hung, drawn and quartered. The poem The Burning Babe was published in St Peter's Complaint And Other Poems, which was issued in 1595, shortly after his death.
In 1970, he was canonized by the Pope as one of the Forty Martyrs of England and Wales.
Suggestion credit: Alexander Baron - London, England