Rashi on Exodus 18:5/רש"י על שמות י״ח:ה׳

1אל המדבר INTO THE DESERT — Indeed we know that they were in the wilderness, and it appears unnecessary to state that Jethro came to Moses there. But by stressing this Scripture is speaking in praise of Jethro: that he was living amidst all the splendour that the world could provide, and nevertheless his heart prompted him to go forth into the desert, a waste place (Mekhilta), to hearken to the words of the Torah.