Mahārāja Pṛthu was one of the śaktyāveśa incarnations of the Supreme Personality of Godhead, and as such he appeared on the surface of the earth to execute the orders of the Supreme. As stated in Bhagavad-gītā, the Supreme Lord is the proprietor of all planets, and He is always anxious to see that in each and every planet the living entities are happily living and executing their duties. As soon as there is some discrepancy in the execution of duties, the Lord appears on earth, as confirmed in Bhagavad-gītā (BG 4.7): yadā yadā hi dharmasya glānir bhavati bhārata.
Since there were so many discrepancies during the reign of King Vena, the Lord sent His most confidential devotee Mahārāja Pṛthu to settle things. Therefore, after executing the orders of the Supreme Personality of Godhead and settling the affairs of the world, Mahārāja Pṛthu was ready to retire. He had been exemplary in his governmental administration, and now he was to become exemplary in his retirement. He divided all his property amongst his sons and appointed them to rule the world, and then he went to the forest with his wife. It is significant in this connection that it is said that Mahārāja Pṛthu retired alone and at the same time took his wife with him. According to Vedic principles, when retiring from family life, one can take his wife with him, for the husband and wife are considered to be one unit. Thus they can both combinedly perform austerities for liberation. This is the path that Mahārāja Pṛthu, who was an exemplary character, followed, and this is also the way of Vedic civilization. One should not simply remain at home until the time of death, but should separate from family life at a timely moment and prepare himself to go back to Godhead. As a śaktyāveśa incarnation of God who had actually come from Vaikuṇṭha as a representative of Kṛṣṇa, Mahārāja Pṛthu was certain to go back to Godhead. Nonetheless, in order to set the example in all ways, he also underwent severe austerities in the tapo-vana. It appears that in those days there were many tapo-vanas, or forests especially meant for retirement and the practice of austerities. Indeed, it was compulsory for everyone to go to the tapo-vana to fully accept the shelter of the Supreme Personality of Godhead, for it is very difficult to retire from family life and at the same time remain at home.