David lived in four different places in his lifetime: Bethlehem, Adullam, Hebron, and Zion. Each of these cities represented a specific lesson that you as a believer must learn in order to rule and reign with Christ.
Even Jesus had to journey between Bethlehem and the right hand of the Father. He was not born on a throne, but in a manger---a lowly, common place. There was a process that carried Jesus and David into authority, and you are subject to that same process.
God is more interested in your character than your comfort, and if you submit yourself to this process you will build a strong character that leads to maturity in Christ!