Jesus returns from his battle with Satan in the wilderness to learn that John the Baptist has been arrested. He knows what that means: the time has come for him to pick up the mantle of John’s preaching ministry. Before long Jesus would begin to proclaim the exact same message as John: “Repent, for the kingdom of heaven is at hand.” (cp. 3:2)
I imagine the news of John's arrest is something of an emotional blow to Jesus, though he probably isn't surprised by it. While Jesus has no one in his life whom he could consider an equal, John the Baptist comes closest to being--I guess you might say--a colleague. There are many people who would become devoted to Jesus. Peter would be fiercely loyal and the disciple John would become a beloved friend. But John the Baptist is the forerunner of the Messiah, “the voice of one crying in the wilderness” who has been set aside from birth for the task. Like Jesus, John knows the burden, the persecution, and the loneliness that comes with having a unique calling. And like a true forerunner, John’s arrest would foreshadow Jesus’ own fate someday.
And so, still weary from his struggle with the devil, Jesus feels a need to withdraw. He retreats northward to Galilee. But his choice of location is no accident. Isaiah prophecied that the Christ would shine the light of his presence on the land of the Gentiles, the land of Zebulun and Naphtali, formerly part of the northern kingdom that had apostasized in the days of the Davidic kings. You'll see Matthew quoting from the Old Testament prophets a lot, so get used to it. It's why people think this Gospel was written for a Jewish audience.
And in this case Matthew needs to explain to his Jewish audience why Christ begins his ministry in Gentile territory. Why not in Jerusalem, the great city, the place of Solomon's temple, the home David designated for the ark of the covenant? Zebulun and Naphtali? Galilee? What are these places compared to Jerusalem?
But even the prophets of old knew that God is the God of the unexpected. He is the God of the underdog, the down-and-out, the lost cause. He is the God who shines hope where there is shame and apostasy and exile. Galilee is a fitting place for Jesus to begin his preaching ministry. Jerusalem, on the other hand, would be the place where he'd go to die.