[T]he Lord appeared to Joseph in a dream. ‘Get up,’ he said, ‘take the child and his mother and escape to Egypt. Stay there until I tell you, for Herod is going to search for the child to kill him.’ 14 So he got up, took the child and his mother during the night and left for Egypt, 15 where he stayed until the death of Herod. And so was fulfilled what the Lord had said through the prophet: ‘Out of Egypt I called my son.' (Matthew 2:13-15).
With all the awful references to "migrants" and the PM joining in the baying crowd of media voices, I think it is good to remember that Jesus and his family were also refugees and migrants. Jesus was probably less than 2 years old (given Herod's homicidal order) when his father and mother snatch him up and hurry out of Bethlehem (8km from Herod), possibly at night. Both the parents would have clearly have been terrified and would have communicated that terror to the young child.
The child would probably not have known why he was going on this journey, he would have been confused, frightened and was having his world shaken and turned upside down. We know the story so we don't share the terror; this is just a short end to Matthew's account that rarely gets into the Nativity play--infanticide not being thought suitable for primary school audiences. We know the end is that Jesus does escape and then returns to live in Nazareth. Jesus, however, experienced first hand the terror and confusion of migrants driven from their home by terrible forces that, like Herod, have no compunction in killing children, however young. He knew this fear, he understands it because he felt it.
We don't because we haven't. Jesus lives in "the Jungle".