Mahaprasthanika Parva of Mahabharata relates thus:
...Then Bhima fell down. Having fallen down, Bhima addressed king Yudhishthira the just, saying, O king, behold, I who am thy darling brother have fallen down. For what reason have I dropped down? Tell me if thou knowest it.
Yudhishthira said, Thou wert a great eater, and thou didst use to boast of thy strength. Thou never didst attend, O Bhima, to the wants of others while eating. It is for that, O Bhima, that thou hast fallen down.
Having said these words, the mighty-armed Yudhishthira proceeded on, without looking back. He had only one companion, the dog of which I have repeatedly spoken to thee, that followed him now.
Vaishampayana said: "Then Shakra, causing the firmament and the Earth to be filled by a loud sound, came to the son of Pritha on a yaana and asked him to ascend it. Beholding his brothers fallen on the Earth, king Yudhishthira the just said unto that deity of a thousand eyes these words:
My brothers have all dropped down here. They must go with me. Without them by me I do not wish to go to Heaven, O lord of all the deities. The delicate princess (Draupadi) deserving of every comfort, O Purandara, should go with us. It behoveth thee to permit this.
Shakra said, Thou shalt behold thy brothers in Heaven. They have reached it before thee. Indeed, thou shalt see all of them there, with Krishna. Do not yield to grief, O chief of the Bharatas. Having cast off their human bodies they have gone there, O chief of Bharatas race. As regards thee, it is ordained that thou shalt go thither in this very body of thine.
Yudhishthira said, This dog, O lord of the Past and the Present, is exceedingly devoted to me. He should go with me. My heart is full of compassion for him.
{then in further dialogue, Gods are testing Yudhishthira, by alluring or frightening him, to abandon his dog }
Shakra said, Immortality and a condition equal to mine, O king, prosperity extending in all directions, and high success, and all the felicities of Heaven, thou hast won today. Do thou cast off this dog. In this there will be no cruelty.
Yudhishthira said, O thou of a thousand eyes. O thou that art of righteous behaviour, it is exceedingly difficult for one that is of righteous behaviour to perpetrate an act that is unrighteous. I do not desire that union with prosperity for which I shall have to cast off one that is devoted to me.
Indra said, There is no place in swarga for persons with dogs. Besides, the Krodhavasas take away all the merits of such persons. Reflecting on this, act, O king Yudhishthira the just. Do thou abandon this dog. There is no cruelty in this.
Yudhishthira said, It has been said that the abandonment of one that is devoted is infinitely sinful. It is equal to the sin that one incurs by slaying a Brahmana. Hence, O great Indra, I shall not abandon this dog today from desire of my happiness. Even this is my vow steadily pursued, that I never give up a person that is terrified, nor one that is devoted to me, nor one that seeks my protection, saying that he is destitute, nor one that is afflicted, nor one that has come to me, nor one that is weak in protecting oneself, nor one that is solicitous of life. I shall never give up such a one till my own life is at an end.
Indra said, Whatever gifts, or sacrifices spread out, or libations poured on the sacred fire, are seen by a dog, are taken away by the Krodhavasas. Do thou, therefore, abandon this dog. By abandoning this dog thou wilt attain to the region of the deities. Having abandoned thy brothers and Krishna, thou hast, O hero, acquired a region of felicity by thy own deeds. Why art thou so stupefied? Thou hast renounced everything. Why then dost thou not renounce this dog?
Yudhishthira said, This is well known in all the worlds that there is neither friendship nor enmity with those that are dead. When my brothers and Krishna died, I was unable to revive them. Hence it was that I abandoned them. I did not, however, abandon them as long as they were alive. To frighten one that has sought protection, the slaying of a woman, the theft of what belongs to a Brahmana, and injuring a friend, each of these four, O Shakra, is I think equal to the abandonment of one that is devoted.
Vaishampayana continued: "Hearing these words of king Yudhishthira the just, the dog became transformed into the Dharma Dev, who, well pleased, said these words unto him in a sweet voice fraught with praise.
Dharma said: Thou art well born, O king of kings, and possessed of the intelligence and the good conduct of Pandu. Thou hast compassion for all creatures, O Bharata, of which this is a bright example. Formerly, O son thou wert once examined by me in the woods of Dwaita, where thy brothers of great prowess met with (an appearance of) death. Disregarding both thy brothers Bhima and Arjuna, thou didst wish for the revival of Nakula from thy desire of doing good to thy (step-) mother. On the present occasion, thinking the dog to be devoted to thee, thou hast renounced the very yaana of the devas instead of renouncing him. Hence. O king, there is no one in Heaven that is equal to thee. Hence, O Bharata, regions of inexhaustible felicity are thine. Thou hast won them, O chief of the Bharatas, and thine is a celestial and high goal.
...Then Bhima fell down. Having fallen down, Bhima addressed king Yudhishthira the just, saying, O king, behold, I who am thy darling brother have fallen down. For what reason have I dropped down? Tell me if thou knowest it.
Yudhishthira said, Thou wert a great eater, and thou didst use to boast of thy strength. Thou never didst attend, O Bhima, to the wants of others while eating. It is for that, O Bhima, that thou hast fallen down.
Having said these words, the mighty-armed Yudhishthira proceeded on, without looking back. He had only one companion, the dog of which I have repeatedly spoken to thee, that followed him now.
Vaishampayana said: "Then Shakra, causing the firmament and the Earth to be filled by a loud sound, came to the son of Pritha on a yaana and asked him to ascend it. Beholding his brothers fallen on the Earth, king Yudhishthira the just said unto that deity of a thousand eyes these words:
My brothers have all dropped down here. They must go with me. Without them by me I do not wish to go to Heaven, O lord of all the deities. The delicate princess (Draupadi) deserving of every comfort, O Purandara, should go with us. It behoveth thee to permit this.
Shakra said, Thou shalt behold thy brothers in Heaven. They have reached it before thee. Indeed, thou shalt see all of them there, with Krishna. Do not yield to grief, O chief of the Bharatas. Having cast off their human bodies they have gone there, O chief of Bharatas race. As regards thee, it is ordained that thou shalt go thither in this very body of thine.
Yudhishthira said, This dog, O lord of the Past and the Present, is exceedingly devoted to me. He should go with me. My heart is full of compassion for him.
{then in further dialogue, Gods are testing Yudhishthira, by alluring or frightening him, to abandon his dog }
Shakra said, Immortality and a condition equal to mine, O king, prosperity extending in all directions, and high success, and all the felicities of Heaven, thou hast won today. Do thou cast off this dog. In this there will be no cruelty.
Yudhishthira said, O thou of a thousand eyes. O thou that art of righteous behaviour, it is exceedingly difficult for one that is of righteous behaviour to perpetrate an act that is unrighteous. I do not desire that union with prosperity for which I shall have to cast off one that is devoted to me.
Indra said, There is no place in swarga for persons with dogs. Besides, the Krodhavasas take away all the merits of such persons. Reflecting on this, act, O king Yudhishthira the just. Do thou abandon this dog. There is no cruelty in this.
Yudhishthira said, It has been said that the abandonment of one that is devoted is infinitely sinful. It is equal to the sin that one incurs by slaying a Brahmana. Hence, O great Indra, I shall not abandon this dog today from desire of my happiness. Even this is my vow steadily pursued, that I never give up a person that is terrified, nor one that is devoted to me, nor one that seeks my protection, saying that he is destitute, nor one that is afflicted, nor one that has come to me, nor one that is weak in protecting oneself, nor one that is solicitous of life. I shall never give up such a one till my own life is at an end.
Indra said, Whatever gifts, or sacrifices spread out, or libations poured on the sacred fire, are seen by a dog, are taken away by the Krodhavasas. Do thou, therefore, abandon this dog. By abandoning this dog thou wilt attain to the region of the deities. Having abandoned thy brothers and Krishna, thou hast, O hero, acquired a region of felicity by thy own deeds. Why art thou so stupefied? Thou hast renounced everything. Why then dost thou not renounce this dog?
Yudhishthira said, This is well known in all the worlds that there is neither friendship nor enmity with those that are dead. When my brothers and Krishna died, I was unable to revive them. Hence it was that I abandoned them. I did not, however, abandon them as long as they were alive. To frighten one that has sought protection, the slaying of a woman, the theft of what belongs to a Brahmana, and injuring a friend, each of these four, O Shakra, is I think equal to the abandonment of one that is devoted.
Vaishampayana continued: "Hearing these words of king Yudhishthira the just, the dog became transformed into the Dharma Dev, who, well pleased, said these words unto him in a sweet voice fraught with praise.
Dharma said: Thou art well born, O king of kings, and possessed of the intelligence and the good conduct of Pandu. Thou hast compassion for all creatures, O Bharata, of which this is a bright example. Formerly, O son thou wert once examined by me in the woods of Dwaita, where thy brothers of great prowess met with (an appearance of) death. Disregarding both thy brothers Bhima and Arjuna, thou didst wish for the revival of Nakula from thy desire of doing good to thy (step-) mother. On the present occasion, thinking the dog to be devoted to thee, thou hast renounced the very yaana of the devas instead of renouncing him. Hence. O king, there is no one in Heaven that is equal to thee. Hence, O Bharata, regions of inexhaustible felicity are thine. Thou hast won them, O chief of the Bharatas, and thine is a celestial and high goal.