Where was Jesus before Bethlehem? For ordinary human beings like us that's a question that doesn't go anywhere, our lives began at a definite point-in-time. But for the Son of God, the long-awaited Messiah, that question opens the door to profound theological truths.
The Apostle John explains in the prologue to his Gospel that the Word (Jesus before the Incarnation) was with God in the beginning, that he is, in fact, God. Not only that, the Word (Jesus), had an equal hand in all of Creation.
That same person, the one who is God and is with God (the wonder of the Trinity allowing such phrases to be true), also came to Earth "in the flesh." The Word became a man, the man Jesus.
The wonders and depths of these truths are great, our response is simple: Worship Christ the newborn King.