The Boers left Cape Colony to begin the Orange Free State and
Transvaal.
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The Orange Free State was immediately north of Cape Colony, once
you had crossed the Orange River. Transvaal was north of OFS, once
you crossed the Vaal River.
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The Union of South Africa, came into being on May 31,1910. It
was created when the British Colonies Cape Colony, the Natal
Colony, the Transvaal Colony and the Orange River Colony merged
into one.