‘Now when he heard that John was delivered up (or ‘arrested'), he withdrew into Galilee, and leaving Nazareth, he came and dwelt in Capernaum, which is by the sea, in the borders of Zebulun and Naphtali.'
Note how this geographical description is later paralleled at the end of the passage by further detailed geographical description in the chiasmus. Both indicate that this is intended to be a historical description of an historical ministry.
Jesus' ‘withdrawal' on John's arrest hints at His previous ministry alongside John in Judaea which the first three Gospels ignore, the reason being that it was of historical interest but not of theological interest. For it was not until John was arrested that Jesus felt free to strike out on His own on His greater ministry, so that it was then that the Messianic ministry began. It should be noted that ‘when He heard' is a time note. Matthew is not actually saying that John's imprisonment was the reason why He went into Galilee. After all Galilee was under the same ruler as the one who had imprisoned John. It may rather be that the imprisonment of John was seen by Him as releasing Him from responsibility in Judaea, and it may even be that Jesus wanted to indicate to Herod that He was not afraid.
There is on the other hand an interesting contrast here between Jesus bold entry into the wilderness to face Satan down (Matthew 4:1-11), and His possible strategic withdrawal into Galilee at the top north west end of the Sea of Galilee. It suggests that He knew that there is a time to be bold, and a time for discretion. Whichever way we take it the delivering up of John to prison was both a warning, and an indication that now His own unique ministry must begin in earnest, and He thus made His choice where He considered that it would be best for Him to commence His ministry, in the towns that bordered the Sea of Galilee. These were both populous and on the trade routes. It should be noted that the whole of Galilee was itself a heavily populated area, and that there were large numbers of Jews there, mingled with many Gentiles.
Thus He left his home in isolated Nazareth, for that was no centre from which to reach out to Galilee, (and as we know from both Mark and Luke He was basically unwelcome there), and took up His quarters in Capernaum. This was by the Sea of Galilee ‘in the borders of Zebulun and Naphtali', and being on the trade routes was more open and willing to receive new things. This description is given at least partly in order to prepare us for the verse that follows. Capernaum was in fact in Naphtali. But Zebulun bordered on Naphtali, and was included in His wider outreach. And Nazareth was in Zebulun.