The Gospel of Pseudo-Matthew 17

1And when Herod saw that he had been made sport of by the magi, his heart swelled with rage, and he sent through all the roads, wishing to seize them and put them to death. But when he could not find them at all, he sent anew to Bethlehem and all its borders, and slew all the male children whom he found of two years old and under, according to the time that he had ascertained from the magi.

2Now the day before this was done Joseph was warned in his sleep by the angel of the Lord, who said to him: Take Mary and the child, and go into Egypt by the way of the desert. And Joseph went according to the saying of the angel.