When Archimonde came to Azeroth, he brought Anetheron with him, but Mephistroth remained behind in the Twisting Nether, presumably to maintain order within the Nathrezim. Even after the systematic deaths of Anetheron and Archimonde, Mephistroth remained intact (he is presumed to have taken the place of both Tichondrius and Anetheron as leader of the Dreadlords), waiting to wreak his havoc on the world another day.