When we first got married, we had agreed we would go to my DPs for dinner the 1st year, and DPILs for dinner the 2nd year. But visit both on the day (as they were 2.5 hours from us but only 20 minutes apart). Year 1, DMIL feeds us at lunchtime and DM feeds us in the evening - as that is when both traditionally do their turkey dinners and we couldn't offend either by saying we were due to eat dinner in the other house/had already eaten. And the same the following year.
So year 3, we stayed at home, just us 2 and cooked for ourselves.
The following year, we rented a cottage in between the 2 and resigned ourselves to the 2 dinner scenario but with a long walk on the beach in between (and wearing "fat pants").
After that, we stayed at home another year just ourselves.
Following year, DD was due on Christmas Day, so it was the only year that we stayed at home but ate in my DGPs house (they lived 20 minutes from us in our city). We also stayed home when DD was 1, but have done some visiting years (usually renting a cottage) and some years just staying in our own house.
We always SEE family over the Christmas period - travelling down to them mostly and sometimes some of them will travel to us for a day or 2. But it is no longer guaranteed to be on Christmas Day itself.
There were lots of grumbles and emotional blackmail that first year, and we still get plenty of it sometimes - but all accept that we will see them over the holidays but that we also need to do some things ourselves as our own family.
(DH and I both have high stress FT jobs that involve international travel, DD does a lot of elite sport and has a lot of training every weekend, as well as managing high functioning SNs, I have a voluntary role every Saturday morning in term time (sometimes all day) so cannot travel until at least lunchtime most weekends, and they also had got used to us travelling "home" less often when DH was only home 1 weekend in 4 in the last recession as he had to cover a project in South Africa for 2 consecutive weeks a month and was working here the other 2 weeks, but did his intercontinental travel over the weekends....so we are under slightly less pressure than we were as newly weds).