SB 10.1.28

rājadhānī tataḥ sābhūt
 sarva-yādava-bhūbhujām
mathurā bhagavān yatra
 nityaṁ sannihito hariḥ
Word for word: 
rājadhānī — the capital; tataḥ — from that time; — the country and the city known as Mathurā; abhūt — became; sarva-yādava-bhūbhujām — of all the kings who appeared in the Yadu dynasty; mathurā — the place known as Mathurā; bhagavān — the Supreme Personality of Godhead; yatra — wherein; nityam — eternally; sannihitaḥ — intimately connected, living eternally; hariḥ — the Lord, the Supreme Personality of Godhead.
Translation: 
Since that time, the city of Mathurā had been the capital of all the kings of the Yadu dynasty. The city and district of Mathurā are very intimately connected with Kṛṣṇa, for Lord Kṛṣṇa lives there eternally.
Purport: 

It is understood that Mathurā City is the transcendental abode of Lord Kṛṣṇa; it is not an ordinary material city, for it is eternally connected with the Supreme Personality of Godhead. Vṛndāvana is within the jurisdiction of Mathurā, and it still continues to exist. Because Mathurā and Vṛndāvana are intimately connected with Kṛṣṇa eternally, it is said that Lord Kṛṣṇa never leaves Vṛndāvana (vṛndāvanaṁ parityajya padam ekaṁ na gacchati). At present, the place known as Vṛndāvana, in the district of Mathurā, continues its position as a transcendental place, and certainly anyone who goes there becomes transcendentally purified. Navadvīpa-dhāma is also intimately connected with Vrajabhūmi. Śrīla Narottama dāsa Ṭhākura therefore says:

śrī gauḍa-maṇḍala-bhūmi, yebā jāne cintāmaṇi,
 tāra haya vrajabhūme vāsa

“Vrajabhūmi” refers to Mathurā-Vṛndāvana, and Gauḍa-maṇḍala-bhūmi includes Navadvīpa. These two places are nondifferent. Therefore, anyone living in Navadvīpa-dhāma, knowing Kṛṣṇa and Śrī Caitanya Mahāprabhu to be the same personality, lives in Vrajabhūmi, Mathurā-Vṛndāvana. The Lord has made it convenient for the conditioned soul to live in Mathurā, Vṛndāvana and Navadvīpa and thus be directly connected with the Supreme Personality of Godhead. Simply by living in these places, one can immediately come in contact with the Lord. There are many devotees who vow never to leave Vṛndāvana and Mathurā. This is undoubtedly a good vow, but if one leaves Vṛndāvana, Mathurā or Navadvīpa-dhāma for the service of the Lord, he is not disconnected from the Supreme Personality of Godhead. At any rate, we must understand the transcendental importance of Mathurā-Vṛndāvana and Navadvīpa-dhāma. Anyone who executes devotional service in these places certainly goes back home, back to Godhead, after giving up his body. Thus the words mathurā bhagavān yatra nityaṁ sannihito hariḥ are particularly important. A devotee should fully utilize this instruction to the best of his ability. Whenever the Supreme Lord personally appears, He appears in Mathurā because of His intimate connection with this place. Therefore although Mathurā and Vṛndāvana are situated on this planet earth, they are transcendental abodes of the Lord.