Question:
Since Jesus had not died in the Old Testament days, where did people go when they died?

Answer:
We know that although physically dead, the OT saints were still spiritually alive (Matthew 22:31,32).  In the story of Lazarus and the rich man, we learn that Lazarus went to Abraham’s bosom (Luke 16:22), and that the rich man was in a place of torment (Luke 16:28).  The OT saints had knowledge of, and looked for, an eternal city. (Hebrews 11:13-16).  The OT saints looked forward to the coming of Christ, while the NT saints look back to Christ.  In God’s sight, the crucifixion had occurred before man had even been created (Revelation 13:8).