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We learn that when Yithro had heard all that Hashem did for B’nai Yisrael, he left Midian with Tzippora and Moshe’s two sons and went to join with the Jews.
We are not absolutely certain as to whether any one specific event Yithro heard boosted him to circumcise himself and to go out to join the B’nai Yisrael, and if so, which exact event it was, or whether it was the sum total of all he had heard which convinced him to become a Jew.
In the sefer Ner Uziel: Perspectives on the Parsha, Rabbi Uziel Milevsky z’l writes on Parsha Yithro (p. 380-383) writes indicating that were Yithro have come to join the Jews after Yetziat Mitziyim or after the cri’at Yam Suf, it would have been unlikely that he could have joined with the Jews due their concern as to what his motivations might be; i.e. whether he was anxious to be on a winning team, on the right side, not unlike many athletes who, when reaching free agency status, seek the best deal, to earn more that their peers, to join onto the team which has gone all-the-way. Rabbi Milevsky cites indications that B’nai Yisrael didn’t accept Gerim during the reigns of David HaMelech and Shlomo HaMelech when B’nai Yisrael was at the zenith of prestige and power in the world.