The correct answer is the following: After leaving Bethlehem, Joseph, Mary and Jesus travelled to Egypt. In the Gospel of Matthew (Matthew 2:13-23), an angel appears to Joseph in a dream, and tells him to fly to Egypt, and to take with him Mary and Jesus, as King Herod would look for the family in order to kill Jesus. Once King Herod died, the family tried to return to their home in Bethlehem, but never got there, as they ended up settling in Nazareth.