It is understood from this verse that Mahārāja Yudhiṣṭhira followed in the footsteps of his forefathers and the great devotees of the Lord. We have discussed many times before that the system of varṇāśrama-dharma, as it was strictly followed by the inhabitants of the world, specifically by those who inhabited the Āryāvarta province of the world, emphasizes the importance of leaving all household connections at a certain stage of life. The training and education was so imparted, and thus a respectable person like Mahārāja Yudhiṣṭhira had to leave all family connection for self-realization and going back to Godhead. No king or respectable gentleman would continue family life till the end, because that was considered suicidal and against the interest of the perfection of human life. In order to be free from all family encumbrances and devote oneself cent percent in the devotional service of Lord Kṛṣṇa, this system is always recommended for everyone because it is the path of authority. The Lord instructs in the Bhagavad-gītā (BG 18.62) that one must become a devotee of the Lord at least at the last stage of one's life. A sincere soul of the Lord like Mahārāja Yudhiṣṭhira must abide by this instruction of the Lord for his own interest.
The specific words brahma param indicate Lord Śrī Kṛṣṇa. This is corroborated in the Bhagavad-gītā (BG 10.13) by Arjuna with reference to great authorities like Asita, Devala, Nārada and Vyāsa. Thus Mahārāja Yudhiṣṭhira, while leaving home for the north, constantly remembered Lord Śrī Kṛṣṇa within himself, following in the footsteps of his forefathers as well as the great devotees of all times.