Complex sentence: Darius's European expedition was a major event in his reign, which began with the invasion of Thrace, after which he left Megabyzus to conquer Thrace, returning to Sardis to spend the winter.
Split into simpler sentences: Darius's European expedition was a major event in his reign, which began with the invasion of Thrace. He then left Megabyzus to conquer Thrace, returning to Sardis to spend the winter.