1) Jewish independence ended in 63 BCE when Pompey conquered Jerusalem and the Temple, making Judea a client state of Rome. Hyrcanus II was made high priest but without the title of king.
2) The Romans installed Herod as king of the Jews in 40 BCE. Though king, Herod was still subordinate to the Roman emperor.
3) There was widespread expectation among Jews and pagans of a coming messiah who would save the world from destruction. Many hoped this messiah would come from Palestine.