King Nebuchadnezzar of Babylon conquered Jerusalem for the final time in I believe 586 BC, deporting all but the poorest of the people to Babylon. When Baylon fell to the Medes and the Persians, Cyrus permitted the Jews to return to their homelands, but not all of them left, some finding it more profitable to stay where they had set up shop during the seventy-year captivity. I could recommend Ezra, Nehemiah, II Kings, and Esther, on this period. The Bible is a relatively thorough resource on the subject.
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