Matthew 2:14

Being warned in a dream that they shouldn't return to Herod, they went back to their own country another way.

Now when they had departed, behold, an angel of the Lord appeared to Joseph in a dream, saying, "Arise and take the young child and his mother, and flee into Egypt, and stay there until I tell you, for Herod will seek the young child to destroy him.

and was there until the death of Herod; that it might be fulfilled which was spoken by the Lord through the prophet, saying, "Out of Egypt I called my son.

Then Herod, when he saw that he was mocked by the wise men, was exceedingly angry, and sent out, and killed all the male children who were in Bethlehem and in all the surrounding countryside, from two years old and under, according to the exact time which he had learned from the wise men.