Christmas is the celebration of the birth of Jesus Christ. But the incarnation—when "the Word became flesh" (John 1:14)—didn't happen in the manger. It happened some nine months earlier. We know this not just because that's how human biology works, but because the Bible itself says so. (All Scripture below is taken from the English Standard Version).
Mary is said to be "with child" (Matthew 1:18) upon Jesus being "conceived ... from the Holy Spirit" (Matthew 1:20). Earlier, Mary is told she will "conceive in [her] womb ... a son, [to be named] Jesus" (Luke 1:31), who even before birth is called a "child ... [who] will be called holy—the Son of God" (Luke 1:35). In Luke 1:41-44, the unborn John the Baptist (probably near the end of his second trimester in the womb) "leaped for joy" in his mother's womb when he entered the presence of the unborn Jesus (who was probably a several-days-old embryo at the time). Many other passages in Scripture affirm a continuity of personal identity through the life of a human being, from conception until death.
So Jesus was once an embryo and a fetus, just as he was once a newborn baby, a toddler and a teenager. By extension, all adult human beings are the same beings as the fetuses from which they developed, just as they were once also infants, adolescents, etc. To have killed the fetus growing in my mother's womb would have been to kill me.
This has implications for abortion and for how we treat unborn human beings. For each of us has a right to life, and merits basic moral respect, by virtue of who/what we are by nature, and so we have that right to life at all stages of our lives. I matter simply for being me. Thus, it would be wrong to kill my prenatal self by elective abortion, just as it would be wrong to kill my adult self for those same reasons.
Put differently: Given that there is a continuity of personal identity throughout the life of a human being (as shown biblically in the case of Jesus, and as is consistent with our common-sense intuitions), and given that each of us has a right to life simply by virtue of who we are (which is also a biblically-supported position), it follows that each of us has a right to life from the time human beings come into existence at conception.
And that's why abortion is wrong.