 The Bible says over 70 times that the Israelites went out of Egypt to Midian, which would be mostly or entirely modern-day Saudi Arabia. Is it true that there is very little evidence that the Exodus story happened, or have we actually just been looking in the wrong spot? While the theory of Moses and the Israelites being in Saudi Arabia is a relatively new theory to those of us in the outside world, it isn't new to the locals living there.