Answer by taking a quote from the following article:

The Romani (also spelled Romany , ), or Roma, are a traditionally itinerant ethnic group, living mostly in Europe and the Americas and originating from the northern Indian subcontinent, from the Rajasthan, Haryana, Punjab and Sindh regions of modern-day India and Pakistan. A DNA study conducted by Indian and Estonian research facilities shows that the Roma/Romani/Gypsy and Sinti people originate from the so-called "Untouchable" Dalit community from India. The Romani are widely known among English-speaking people by the exonym Gypsies (or Gipsies), which some people consider pejorative due to its connotations of illegality and irregularity. They are a dispersed people, but their most concentrated populations are located in Europe, especially Central, Eastern and Southern Europe (including Turkey, Spain and Southern France).

The Roma people have a number of distinct populations, the largest being the Roma and the Iberian Cale or Calo, who reached Anatolia and the Balkans about the early 12th century, from a migration out of northwestern India beginning about 600 years earlier. They settled in present-day Turkey, Greece, Serbia, Romania, Moldova, Bulgaria, Macedonia, Hungary and Slovakia, by order of volume, and Spain. From the Balkans, they migrated throughout Europe and, in the nineteenth and later centuries, to the Americas. The Romani population in the United States is estimated at more than one million. Brazil has the second largest Romani population in the Americas, estimated at approximately 800,000 by the 2011 census. The Romani people are mainly called by non-Romani ethnic Brazilians as ciganos. Most of them belong to the ethnic subgroup Cales (Kale), of the Iberian peninsula. Juscelino Kubitschek, Brazilian president during 1956-1961 term, was 50% Czech Romani by his mother's bloodline; and Washington Luis, last president of the First Brazilian Republic (1926-1930 term), had Portuguese Kale ancestry.  There is no official or reliable count of the Romani populations worldwide. Many Romani refuse to register their ethnic identity in official censuses for fear of discrimination. Others are descendants of intermarriage with local populations and no longer identify only as Romani, or not at all.  As of the early 2000s, an estimated 3.8 to 9 million Romani people lived in Europe and Asia Minor. although some Romani organizations estimate numbers as high as 14 million. Significant Romani populations are found in the Balkan peninsula, in some Central European states, in Spain, France, Russia, and Ukraine. The total number of Romani living outside Europe are primarily in the Middle East and North Africa and in the Americas, and are estimated in total at more than two million. Some countries do not collect data by ethnicity.  The Romani people identify as distinct ethnicities based in part on territorial, cultural and dialectal differences, and self-designation.

Did they went to different locations?
They settled in present-day Turkey, Greece, Serbia, Romania, Moldova, Bulgaria, Macedonia, Hungary and Slovakia, by order of volume, and Spain.