The only situation which I feel is analogous to the departure of a believer from this world is the departure of a baby from its mother’s womb; from the gloominess (inside the womb) to the spirit (and freshness) of the world.

—Sufyān al-Thawrī [d. 161H/778CE]

(Read on pg 154, Salaahud-Deen ibn ‘Alee ibn ‘Abdul-Maujood, The Biography of Sufyaan Ath-Thauree. Darussalam Publishers. Riyadh:2005.)

In addition to the analogy of gloominess (ie. difficulties, fitan), another perspective is as follows: The womb is a place for growth, development, and preparation for life outside of the womb (ie. in the world).  Events during this phase can impact the child outside the womb (ie. nutrition, infections).  Similarly the dunya is a place to prepare for the Hereafter, and events in dunya can affect outcome in Hereafter.
—GMQ