Adam Clarke on Exodus 18:2

After he had sent her back - Why Zipporah and her two sons returned to Midian, is not certainly known. From the transaction recorded Exo 4:20, Exo 4:24, it seems as if she had been alarmed at the danger to which the life of one of her sons had been exposed, and fearing worse evils, left her husband and returned to her father. It is however possible that Moses, foreseeing the troubles to which his wife and children were likely to be exposed had he taken them down to Egypt, sent them back to his father-in-law till it should please God to deliver his people.

Jethro, now finding that God had delivered them, and totally discomfited the Egyptians, their enemies, thought it proper to bring Zipporah and her sons to Moses, while he was in the vicinity of Horeb.