On this day we are reminded, as well, that all lives are precious, and it is our responsibility to protect every life from the moment of conception to natural death. 

Pope Francis stated in his 2016 address for the Feast of the Holy Innocents:

Christmas is … accompanied, whether we like it or not, by tears. The Evangelists did not disguise reality to make it more credible or attractive. They did not indulge in words that were comforting but unrelated to reality. For them, Christmas was not a flight to fantasy, a way of hiding from the challenges and injustices of their day. On the contrary, they relate the birth of the Son of God as an event fraught with tragedy and grief. Quoting the prophet Jeremiah, Matthew presents it in the bluntest of terms: “A voice is heard in Ramah, wailing and loud lamentation, Rachel weeping for her children” (2:18). It is the sobbing of mothers bewailing the death of their children in the face of Herod’s tyranny and unbridled thirst for power.

Today too, we hear this heart-rending cry of pain, which we neither desire nor are able to ignore or to silence. In our world – I write this with a heavy heart – we continue to hear the lamentation of so many mothers, of so many families, for the death of their children, their innocent children. (Letter of His Holiness Pope Francis to Bishops on the Feast of the Holy Innocents)

The Feast of the Holy Innocents is celebrated on December 28.

While the Church has long recognized the sanctity of the Innocents it has never formally taught any specific explanation. The New Covenant with its moral obligation of baptism, and its certainty of grace, had not yet been promulgated when they died. Thus, there can be, at best, an analogy to baptism of any kind, including baptism of blood. 

However, as St. Thomas Aquinas explains of the Old Covenant, while the sacraments of the Old Law did not impart grace by themselves, God granted it to those who obeyed and believed Him by keeping His covenant. In this way the rites of the Old Law justified in view of the Messiah, and in Circumcision’s case, in view of His Passion (St. Thomas, S.T. III, q70, a4). 

It is likely, therefore, that all, or most, of these infant boys were already just and added the crown of martyrdom to that glory. And if in some cases those rites had not yet been performed, how much more ought we to believe that having died out of hatred for Christ, those few should receive justice from God.

Saint Joseph was ordered by an angel in a dream to take the Infant Jesus and His mother and flee to Egypt. They immediately did so, in obedience to God through His angel. We see this account in Matthew chapter 2.

Matthew 2: Now when [the Magi] had departed, behold, an angel of the Lord appeared to Joseph in a dream and said, “Rise, take the child and his mother, and flee to Egypt, and remain there till I tell you; for Herod is about to search for the child, to destroy him.” And he rose and took the child and his mother by night, and departed to Egypt, and remained there until the death of Herod. This was to fulfil what the Lord had spoken by the prophet, “Out of Egypt have I called my son.” …

[W]hen Herod died, behold, an angel of the Lord appeared in a dream to Joseph in Egypt, saying, “Rise, take the child and his mother, and go to the land of Israel, for those who sought the child’s life are dead.” And he rose and took the child and his mother, and went to the land of Israel. But when he heard that Archelaus reigned over Judea in place of his father Herod, he was afraid to go there, and being warned in a dream he withdrew to the district of Galilee. And he went and dwelt in a city called Nazareth, that what was spoken by the prophets might be fulfilled, “He shall be called a Nazarene.”