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In the parallel continuity of all 4 Gospels is Matthew 14:3-11 a pause in the narrative? Or did Jesus travel to Bethsaida (Luke) immediately following the beheading of John the Baptist?

Matthew

(14:1-2) At that time Herod the tetrarch heard reports about Jesus, and he said to his servants, “This is John the Baptist. He has been raised from the dead! And because of this, miraculous powers are at work in him.”

(14:3-11) [The beheading of John the Baptist is recounted]

(14:12-13) Then John’s disciples came and took the body and buried it and went and told Jesus. Now when Jesus heard this he went away from there privately in a boat to an isolated place. (14:13-21) [The feeding of five thousand]

Mark

(6:7-13) [Jesus sends out the disciples in power]

(6:14-16) Now King Herod heard this, for Jesus’ name had become known. Some were saying, “John the baptizer has been raised from the dead, and because of this, miraculous powers are at work in him.” Others said, “He is Elijah.” Others said, “He is a prophet, like one of the prophets from the past.” But when Herod heard this, he said, “John, whom I beheaded, has been raised!”

(6:17-29) [The beheading of John the Baptist is recounted]

(6:30-31) Then the apostles gathered around Jesus and told him everything they had done and taught. He said to them, “Come with me privately to an isolated place and rest a while” (for many were coming and going, and there was no time to eat). So they went away by themselves in a boat to some remote place. (6:33-44) [The feeding of five thousand]

Luke

(9:1-6) [Jesus sends out the disciples in power]

(9:7-10) Now Herod the tetrarch heard about everything that was happening, and he was thoroughly perplexed, because some people were saying that John had been raised from the dead, while others were saying that Elijah had appeared, and still others that one of the prophets of long ago had risen. Herod said, “I had John beheaded, but who is this about whom I hear such things?” So Herod wanted to learn about Jesus. When the apostles returned, they told Jesus everything they had done. Then he took them with him and they withdrew privately to a town called Bethsaida. (9:11-17) [The feeding of five thousand]

John

(5:1-47) [Jesus responded to Jewish leaders]

(6:1) After this Jesus went away to the other side of the Sea of Galilee (also called the Sea of Tiberias). (5:2-15) [The feeding of five thousand]

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The Greek text of Matthew 14:12 is:

και προσελθοντες
and having come

οι μαθηται αυτου
his disciples (lit. "the disciples his")

ηραν το σωμα
took the body

και εθαψαν αυτο
and buried it

και ελθοντες απηγγειλαν τω ιησου
and coming told Jesus (lit. "the Jesus")

A common interpretation (including that in the KJV) is that what the disciples told Jesus was the story of John's beheading. In antiquity, however, all of Matthew 3:3-11 was understood to be a parenthetical comment. What was being told to Jesus was not that John had been beheaded, but rather that Jesus had attracted Herod's attention. This would be more clear perhaps if the text were written:

At that time Herod the tetrarch heard about the fame of Jesus; and he said to his servants, “This is John the Baptist, he has been raised from the dead; that is why these powers are at work in him”

(For Herod had seized John ... and had John beheaded in the prison ...);

and they went and told Jesus. Now when Jesus heard this [i.e. that Herod was speaking about Him], he withdrew from there in a boat to a lonely place apart.

This is noted in the Byzantine (Greek) commentary of Theophylact:

What did they tell Jesus? Not that John had died, for the account of John's death was given parenthetically. But rather, they told Jesus that Herod was saying about Him, that Jesus was John.

- Explanation of the Gospel According to Matthew (trans. Chrysostom Press, 1992), p. 123.

The Diatessaron of Tatian - an ancient Syriac harmony constructed from pericopes of all four Gospels - has a similar interpretation, but implies that there were two visits from disciples: one early visit to tell Jesus about John's beheading (XVIII.19); and a later visit to tell Him that Herod was inquiring of Him (XVIII.20):

19 And his disciples heard, and came and took his body, and buried it. And they came and told1 Jesus what had happened [Mk 6:29; Mt 14:12b].

20 And for this cause Herod said, I beheaded John: who is this, of whom I hear these things. And he desired to see him [Lk 9:9].

21 And Jesus, when he heard, removed thence in a boat to a waste place alone, to the other side of the sea of the Galilee of Tiberias [Mt 14:13a; Jn 6:1b]

With this understanding, I don't think there is any inconsistency in the accounts. Mark and Matthew recount John's beheading after reporting about Herod's inquiring of Jesus, whereas Luke does not. In all three accounts, Jesus withdraws after hearing that Herod is inquiring after Him.

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