Matthew 2:15-16, 19-20, 22
"And was there until the death of Herod: that it might be fulfilled which was spoken of the Lord by the prophet, saying, Out of Egypt have I called my son.
Then Herod, when he saw that he was mocked of the wise men, was exceeding wroth, and sent forth, and slew all the children that were in Bethlehem, and in all the coasts thereof, from two hears old and under, according to the time which he had diligently enquired of the wise men.

But when Herod was dead, behold; and angel of the Lord appeareth in a dream to Joseph in Egypt,
Saying, Arise, and take the young child and his mother, and go into the land of Israel: for they are dead which sought the young child's life.

But when he heard that Archelaus did reign in Judaea in the room of his father Herod, he was afraid to go thither: notwithstanding, being warned of God in a dream, he turned aside into the parts of Galilee:"