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The Biblical basis for using the expression “to be with the Lord” comes from the Apostle Paul who had this to say about his desire to be united with the Lord after death:
Therefore we are always confident and know that as long as we are at home in the body we are away from the Lord. We live by faith, not by sight. We are confident, I say, and would prefer to be away from the body and at home with the Lord (2 Corinthians 5:6-8).
While alive Paul is serving Christ, but he longs to be with Christ which can only happen after death:
For to me, to live is Christ and to die is gain. If I am to go on living in the body, this will mean fruitful labour for me. Yet what shall I choose? I do not know! I am torn between the two: I desire to depart and be with Christ, which is better by far; but it is more necessary for you that I remain in the body (Philippians 1:21-24).
My NIV Study Bible comments that Philippians 1:23 clearly teaches that when believers die they are with Christ, apart from the body. Being with Christ (who is the Lord) involves some kind of conscious presence and fellowship as confirmed by what Paul said in 2 Corinthians 5:6, 8.
The origin of this expression, “to be with the Lord” or “to be with Christ” dates back to approximately 55 A.D. when Paul wrote his second letter to the Christians in Corinth.