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King Herod lied when he told the wise men he wanted to worship Jesus. He was afraid this new "king" would replace him as king of Judea. He did not understand that Jesus would grow up to be king of God's spiritual kingdom, not king of Judea.
What Herod really wanted was to find Jesus and kill Him! Herod was furious when he realized the wise men had not come back to tell him where to find Jesus. He sent his soldiers to Bethlehem to kill all the children under two years old, thinking Jesus would certainly be one of the ones killed.
But God had told Joseph in a dream to flee to Egypt. Joseph took Mary and Jesus to live in Egypt where they would be safe from Herod. Joseph, Mary and Jesus stayed in Egypt until Herod had died, and then they returned to Nazareth.

Answer to that big question
Lessons