Majma al-Zawaid — Hadith 17642

Sayyiduna Abdullah bin Mas'ud (may Allah be pleased with him) narrates from the Prophet (peace and blessings be upon him): "After Sayyiduna Musa (peace be upon him), the Children of Israel appointed a man as their caliph. One night he stood praying on top of Bayt al-Maqdis in the moonlight, and the thought came to him of certain things he had done. So he went out and let himself down by a rope. The next morning the rope was hanging in the mosque and the man had gone. The man went on until he came to a people on the seashore. He found them carrying bricks (the narrator is unsure, or perhaps the words are:) he found them making bricks. He asked them: 'What payment do you receive for the bricks?' They told him, so he too began making bricks with them. He ate from the earnings of the work of his own hands, and when the time of prayer came, he would stand and offer the prayer. Those labourers told their landlord about this, that there was a person among them who did such-and-such. The landlord sent a message to the man, but he refused to go; this happened three times. Then the landlord rode to him on his mount. When the man saw the landlord, he took to flight. The landlord went after him, but the man got ahead. The landlord said to him: 'Stop! I want to speak with you.' The man stopped, and the landlord talked with him. The man told the landlord about his situation. When he told him that he had been a king and had left everything out of fear of his Lord, the landlord said: 'My opinion of myself is that I too should join you.' So the landlord went with him, and then the two of them kept worshipping Allah Almighty until death, until the two of them passed away near a small hill (Rumaylah) in Egypt." Sayyiduna Abdullah bin Mas'ud (may Allah be pleased with him) says: If I were there, I would guide you to the graves of those two, which would match the description given by the Prophet (peace and blessings be upon him).
Al-Bazzar, and at-Tabarani in al-Mu'jam al-Awsat and al-Mu'jam al-Kabir, recorded it, and its chain is hasan (good).