The full question we received was, "Before Jesus died on the cross and opened the gates of Heaven, where did people go when they died?" I love the way the person asked this question because it indicates an understanding that it is only by Jesus' finished work on the cross that anyone, in any time period, goes to Heaven. That includes Old Testament saints. They did not go to Heaven when they died, because Jesus had not come to earth and lived the life we could not live and died the death we should have died. His work, alone, opened the way to the Father in Heaven.
While people in the Old Testament were saved by faith in God, their sins were not yet washed away (atoned for) by the blood of Jesus. After God delivered His people from Egypt, and when He first set them on a journey to their inheritance in the Promised Land, He gave them a system of animal sacrifice to be a blood offering to cover their sins. However, the blood of an animal could never fully atone for the sins of man, and the works of man (including sacrificial works) could never fully satisfy God. Therefore, it was necessary that a day would come when God would send His Son, to be incarnated as a man, to live a pure and sinless life and to die as the perfect Lamb of God who would take away the sins of the world (John 1:29).
In the wilderness God had told His people that the life of man is in the blood (Leviticus 17:11) and therefore only by the blood of a man could the wrath of God's judgment of sin be satisfied and the penalty for sin be paid. And, it had to be pure, sinless blood. Only Jesus could be that sacrifice and so He laid down His life in submission to His Father's will and His blood was acceptable in God's sight.