Matthew 2:13-15

Now when they departed, the angel of the Lord appeared to Joseph in a dream, saying, “Arise, take the young Child and His mother, and escape to Egypt, and stay there until I bring you word. For Herod will seek the young Child to kill Him.”  When he rose, he took the young Child and His mother by night, and departed into Egypt, and remained there until the death of Herod, to fulfill what the Lord had spoken through the prophet, “Out of Egypt I have called My Son.”
Matthew 2:13-15, Modern English Version (MEV)
 
As we have already stated, we don't know very much about Joseph, but the picture we are provided is of a man who had a very close personal relationship with God. Most of us, if presented with a situation like this, would most likely be filled with questions, particularly of our own sanity. It is doubtful that we would ever actually act upon God's command. That Joseph did act is a testament to his faith and trust in God.
 
Joseph Benson explains to us in his Commentary on the Old and New Testaments:
 
And when they were departed — Probably very soon after; for Bethlehem being only about two hours’ journey from Jerusalem, no doubt Herod would have speedy intelligence of the motions of the wise men: the angel of the Lord appeared to Joseph in a dream, saying, Arise, take the young child, &c. — How watchful was the providence of God over this holy child and his righteous parents: while Joseph and Mary slept secure, enriched by the presents of the wise men, God watches for their safety, and makes them acquainted with the danger which hung over them. They are commanded to flee into Egypt, which was situated so near to Bethlehem, that they could easily arrive there in a few days. And the same divine providence also superintends and preserves all that have an eye thereto, and confide therein, and are God’s true people. Only they must obey his voice, and use the means he has appointed for their preservation. Even Jesus, the only begotten and beloved Son of the Father is not preserved without being taken into a foreign country. The command given by the angel to Joseph and Mary, to flee into Egypt, shows, that this vision happened before their return to Nazareth. For otherwise, it is much more probable they would have been ordered to flee into Syria, which was much nearer to Nazareth than Egypt; to which they could not have passed from thence without going through the very heart of Herod’s dominions, unless they had taken a very large circuit with great expense and danger. For Herod will seek the young child to destroy him — Being alarmed by the extraordinary circumstances which had lately taken place, and fearing lest this child should, in time, be a formidable rival to his family. For when the wise men had come so far to pay their homage to a new-born prince, the several reports of what had lately happened would, upon this occasion, be revived; and the behaviour of two such celebrated persons as Simeon and Anna, on the presentation of Christ in the temple, which might at first be only taken notice of by a few pious persons, would, probably, be now reported to Herod, and must add to the alarm which the inquiry of the sages gave him. Respecting Egypt, to which the holy family was commanded to flee, we may here observe, that after the death of Antony and Cleopatra it became a Roman province, and many Jews fixed their abode there, who, speaking the Greek language, made use of the Greek version of the Scriptures, and had even a temple there, which Onias had built them. These circumstances, doubtless, would make the abode of Joseph and Mary in that country more comfortable to them than it otherwise would have been; yet it is natural to suppose, that this information and command from the angel would be a great trial of their faith. To say nothing of the concern it must give them to learn that the life of this divine child was threatened by so crafty, powerful, and bloody a prince as Herod. Joseph was but a carpenter, and therefore, we may suppose, in low circumstances; and Egypt was a strange land, and a land where, it is likely, he had few, if any, acquaintances, and no visible way of subsistence. But, no doubt, he was able to trust that God whose beloved Son was given him in charge, and who had appeared in so signal and manifest a manner for the redemption of his people, and for the child’s protection.
 
When he arose — Viz., from his bed, he took the young child, &c. — He immediately obeyed the heavenly vision, and departed into Egypt — With as hasty a flight as their circumstances would allow. And was there until the death of Herod — Which happened a few months after. That it might be fulfilled — That is, fulfilled again, which was spoken by the prophet — Viz., Hosea, on another occasion, Out of Egypt have I called my son — These words of Hosea, without doubt, were primarily spoken of God’s bringing Israel out of Egypt under the conduct of Moses, the prophet referring to God’s message to Pharaoh, recorded Exo_4:22-23, Israel is my son, even my firstborn; let my son go that he may serve me. Now this deliverance of the Israelites, God’s adopted son, was a type of his bringing Christ his real son from thence, and the meaning here is, that the words were now, as it were, fulfilled anew, and more eminently than before, Christ being in a far higher sense the son of God than Israel, of whom the words were originally spoken. For as a prophetical prediction is then fulfilled when what was foretold has come to pass, so a type is fulfilled when that is accomplished in the antitype, which was done in the type before. If the reader will consult the note on Hos_11:1, he will find this passage fully, and, it is hoped, satisfactorily explained and vindicated; and the consistency of the evangelist’s words with those of the prophet clearly shown. It may not, however, be improper to add here to what is there advanced, that the lot of the Messiah in Egypt was now afflictive, like that of his ancestors formerly in the same country. And the same love of God which induced him to deliver Israel out of Egyptian bondage, was the cause also why he would not leave Christ in Egypt, but bring him back to his own people, whom he was about to enlighten with his heavenly doctrine, and redeem by his sufferings and death. Nor would it be absurd to carry the allegory still further, and to compare Herod to Pharaoh. For, as by the just judgment of God, both the firstborn of Pharaoh, the enemy of the Jews, was slain, and a little after Pharaoh himself perished; so Herod, not long after he had formed the wicked but vain design of putting Christ to death, in a fit of diabolical rage killed his firstborn son, and afterward himself perished, suffering the greatest tortures. — Wetstein.