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Picture this: Jesus is on the cross between two criminals bearing upon himself the sins of the world and the suffering that goes with it. So much so that He is described as being made sin for us (2Corinthians 5:21).
You see, crucifixion was one of the worst, most brutal ways to kill a man. It isn’t precise and the practice had long been stopped before anyone even really considered how the victims actually died in the process. Some victims were reported to have remained alive for days before finally dying from thirst and exposure. Usually, breaking their legs to speed up the process was a form of mercy.
Yet in all of this, the worst part began (for Jesus) when He cried out “My God, my God why hast thou forsaken me”. It tells of a separation from the Father - Something He had never experienced until then. It brought home the very condition of man, for He had taken the place of sinful man. That’s where hell begins. For hell indeed is where God isn’t.
Then the anomalies begin.
1. He was crucified at the third hour (9 am). At the 6th hour (12 midday), there’s total darkness over the land until the ninth hour (3 pm). (Mark 15:25–33).
2. After about 9 hours of hanging on the cross, Jesus cries out “Tetelestai!” - (a greek accounting term meaning “paid in full” as you would debts). Finally, He prays: “Father, into your hands I commit my spirit” and bows his head and gives up the ghost. Remember crucifixion victims could spend days slowly dying on the cross but He just “dies at will” if you would. Any Roman soldier experienced in the execution of the condemned by this method would find this quite peculiar 9 hours into the process. They even had to break the legs of the other two criminals just so they wouldn’t live till the next day which was the Sabbath of the Jews (John 19:31–34). Even Pilate marvelled that he was already dead (Mark 15:44).
3. When He finally gives up the ghost, the veil of the temple suddenly tears apart from top to bottom; there's an earthquake with vibrations strong enough to split rocks and open graves.
4. Witnessing these strange events, the soldiers confessed saying “Truly, this was the Son of God!”.
Now to answer your question, Immediately after His death, Jesus goes to Sheol Hades). Where the spirits of those who died awaiting the promise of the Messiah were held under the bondage of Death.