Albert Barnes Commentary Matthew 2:12

"And being warned [of God] in a dream that they should not return to Herod, they departed into their own country another way." — Matthew 2:12 (ASV)

Warned of God, etc. This was done, undoubtedly, because if they had given Herod precise information about where he was, it would have been easy for Herod to send out and kill him. And from this we learn that God will watch over those whom he loves; that he knows how to thwart the purposes of the wicked and to deliver his own from the hands of those who would destroy them.

In a dream. See the notes on Matthew 1:20.