We know that Dante found himself in a dark wood, but we aren’t told where he had been before.
He didn’t choose the road, the road chose him, by procuration. For he had lost the straight path. It is also unclear where the straight path would have led. Not to Hell, as all infernal roads are crooked, even though the architecture of Inferno might be perfectly geometrical. Not to Purgatorio, as the way up the mountain starts at the base of an island, and the purging souls are brought by boat, they hardly travel themselves. And certainly not to the Heavens, as no roads can ever reach Paradise, let alone the space beyond space, the Empyrean.
No, we are not told, and we hardly feel like asking. At least not after Dante shows us the road less travelled by, and which made all the difference, the pathway upwards which must first go down, deepways, so down that hope is at risk of being lost, communication broken down, the body abandoned and despair overwhelming. Only then can the road begin to ascend, not like those roads in the Alps or the Carpathians, which go winding up and down, but by a complete change of perspective, so complete that north turns south and south north, and the soul takes such a radical turn that the whole being is transformed and renewed. It comes at a price, but it makes all the difference.
The only rod worth taking is the off-road, the leap of faith beyond faith, in total defiance of the self, for the sake of self-transcendence. It is the road into the unknown, at the end of which, if taken properly and walked carefully, lies self-knowledge, awe and trembling, not the end of the road, but merely the starting point, the staging point of the adventure of the self coming unsuspectedly home.