Why did the sole survivor from Laius's party request to leave Thebes after seeing King Oedipus in Oedipus the King?

Quick answer:

The messenger was in fact the slave of Laius who was given baby Oedipus by Jocasta, his own mother. He pleaded with Jocasta to give him the baby in order to save Oedipus from a life of misery and suffering.

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The first type of reason we can put forth for this has to do with the slave's motivations. Oedipus killed Laius. The slave is the only living witness to this. As a slave, he would have been absolutely powerless and is terrified that Oedipus will recognize him and put him to death. A king would have been within his rights to kill any slave on just a whim. There would have been no fear of negative consequences for doing so in light of both the power of a king and the low regard in which slaves were held in ancient society, in which legally they were property rather than people.

From a dramatic point of view, Sophocles needs to keep the slave alive in a credible fashion so that later in the play he can identify Oedipus as the killer of Laius. 

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Jocasta relates a story that, when the sole surviving member of Laius's party returned to Thebes after Laius had been slain on the road, he saw Oedipus was ruling Thebes in Laius's stead. At that point, the slave grasped Jocasta's hand and begged her to send him away to work in the pastures instead of the house so he can get as far away from Thebes as possible. Because the slave was always so good and loyal, Jocasta agrees to fulfill his request. The slave seems to have done this because he recognized Oedipus as the killer of Laius, and he perhaps was afraid that Oedipus would also recognize him or simply feared to live in a Thebes ruled by the man who murdered its former king.

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Why did the lone surviving slave of Laius's party plead with Jocasta to leave Thebes when he saw Oedipus on the throne in Oedipus Rex?

The messenger who brings news of the death of Polybus, Oedipus's father, tells him that Polybus was not his birth father.  Instead, he says, many years ago a shepherd gave the baby Oedipus to him, and he took the baby to Polybus and Merope, the king and queen of Corinth, who raised him as their own.  Oedipus demands that the shepherd be found and brought before them.  When this shepherd, once a slave belonging to Laius, arrives, he confirms that he and the messenger used to tend their flocks together when they were young, and he admits to giving the man a baby many years ago.  When the messenger tells the shepherd that that baby is Oedipus, the man now in front of him, the shepherd grows very upset, and he tries to resist answering any more of Oedipus's questions because he knows that Oedipus has, in fact, married his own mother, the queen, Jocasta.  He eventually explains that he was given the baby, all those years ago, by Jocasta because a prophecy had foretold that the baby would, one day, murder his father, Laius.  It is in this way that Oedipus learns that he has, in fact, fulfilled this part of the prophecy which the oracle at Delphi delivered to him.

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Why did the lone surviving slave of Laius's party plead with Jocasta to leave Thebes when he saw Oedipus on the throne in Oedipus Rex?

Laius' sole surviving slave (now working as a farmer) begged to be allowed to leave when he realized who Oedipus was, specifically, Laius' murderer.  Oedipus in his arrogance has sworn that he will rid the city of Thebes of its plague by finding the murderer of Laius, not realizing that he is the one who killed Laius, nor realizing that he is in fact Laius' son, destined at birth to kill his father and marry his mother Jocasta (which he did).  Jocasta is trying to learn more about her late husband's death and so interrogates the slave for information, yet the slave fears Oedipus' anger if he should tell him the truth.  Therefore, he sees leaving Thebes a safer option than telling him who the murderer is.

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