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According to the Mahabharata and the Puranas, Vajra, (in Sanskrit: वज्र or वज्रा), also known as "Vajranabh" (वज्रनाभ्), was one of the last survivors of the Yadu dynasty. He succeeded his father King Aniruddha to the throne of Surasena. He was the great grandson of Shri Krishna and the grandson of Pradyumna.
Shri Krishna's wife, Rukmini, gave birth to the great warrior Pradyumna, one of Krishna's prominent sons, who later married the daughter of his maternal uncle Rukmi, Rukmavati. The mighty Aniruddha, was born to them, who married Usha, the Daitya princess. The princess gave birth to Vajra, who was known as the invincible warrior and would remain among the few survivors of the Yadus' battle. The name Vajra means "thunderbolt" or "diamond". A Vajra is a virtual object that represents firmness of spirit and spiritual power.
Story according to the Mahabharata and the Puranas
Crowning of Vajra
After Krishna left for Vaikunta, about 36 years after the Kurukshetra War (3138 BC), most of the major Yadu leaders had long died either due to disputes among themselves or the submergence of Dwarka into the sea. Arjuna went to Dwarka to bring the last surviving Yadus (i.e. Krishna's great grandson Vajra and the Yadava wives and elderly people) to safety in Hastinapur. Arjuna then proclaimed Vajra as the King of Surasena at Indraprastha.
King Parikshit meets King Vajra
Just before Pandava left for the Himalayas, Arjuna's grandson Parikshit was crowned the King of Indraprastha by Yudhishthira. King Parikshit went to Mathura to visit King Vajra to inquire about his well-being. Parikshit was welcomed with great respect by Vajra and in return Parikshit expressed his obligation towards Vajra, for his great grandfather Krishna had saved his entire dynasty in war with Kaurava. When asking King Vajra whether he needed any help, the King replied, "Although I am now the King of Mathura, I am unable to enjoy the rule. The happiness of a kingdom is due to the people that live there and I have no idea where the residents of this place have gone. Mathura is deserted." On hearing this, King Parikshit immediately sent out for Sage Ṣāṇdilya, a preceptor to King Nanda, in order to clear Vajra's doubts.
Sage Ṣāṇdilya explains the meaning of Braja
Sage Ṣāṇdilya was asked by King Vajra and King Parikshit for his help in rebuilding of the land Mathura. He told them that Braj or Vrindavan was the childhood place of Lord Krishna, where he grew up and enjoyed his childhood to the fullest with the beautiful forests of Vrindavan, gopis and cows as his playmates. Ṣāṇdilya told them that Brij means omnipresent or "all pervading like a nomad or a wanderer." For Vajra to obtain the same peace and happiness, he needed to revitalise the area with the same energy that Lord Krishna possessed. In other words, he needed to have Krishna's presence felt everywhere in areas like Govardhana, Nandgaon, Gokul and Mathura where the Lord spent majority of his childhood and performed his leelas. After telling this, Sandilya Rishi left for his hermitage. Vajra and Parikshit were very happy listening to him and followed his instructions to rehabilitate the Kingdom of Mathura.
Temples of Krishna and other deities built by Vajra
King Vajra then installed and invoked 16 deities of Shri Krishna and other Gods carved from an imperishable rare stone called Braja and built temples to house the deities in and around Mathura so as to feel the presence of Lord Krishna. The four presiding deities of Braja Mandala are Sri Harideva of Govardhan, Sri Keshava Deva of Mathura, Sri Baldev of Baldeo, and Govindaji of Vrindavan. There are two Naths—Sri Nathji, who were originally at Govardhan and are now in Nathdwara, Rajasthan and Sri Gopinath, who is now in Jaipur. The two Gopals are Sri Madana Mohan, who is now housed at Karoli Rajasthan, and Sakshi Gopal, who is now moved to town of Sakshi Gopal, Orissa, near Puri.
It is said that King Vajra first had three deities of Krishna carved but he had never seen Krishna, so they were then carved from the description of Uttara, the mother of Maharaja Parikshit. He had three different images carved, but none of them were perfect. Govindaji resembled the face, Madana Mohan resembled the navel down to the lotus feet, and Gopinath resembled the trunk of the body, from the navel to the neck.
Later the Govind Dev (Govindaji) Temple (at Vrindavan) was constructed by the Kacchwaha King Man Singh of Amber who was a devotee of Shri Krishna. He had a seven-storied temple of Krishna constructed for Srila Rupa Goswami, disciple of Sri Chaitanya Mahaprabhu, in Vrindavan. The interior vaults and pillars were inspired by those used in Fatehpur Sikri and other imperial sites, but were in fact more technologically innovative than Singh's own buildings. It has a sculptured lotus flower weighing several tons decorating the main hall ceiling while still reflecting the Islamicate styles used in contemporary imperial Mughal architecture. It was fitted with an altar of marble, silver and gold. Akbar visited Vrindavan in 1573 and according to tradition, it's believed that Hindu rajas accompanying him obtained his permission to build temples in these parts. Thus temples of Gopinath and Govindeva were constructed by them. It is said that the Emperor Akbar donated some of the red sandstone that had been brought for the Red Fort at Agra, for the construction of this temple. It was partially destroyed by Mughal ruler Aurangzeb. There is a belief that during this attack, when few stories remained, all of a sudden the ground began to shake violently and Aurangzeb's men were terrified and ran for their lives, never to return. From 1873 to 1877 the British administration repaired the main structure of the temple. The four-story temple is still present at Vrindavan.
The Gopinath deity is now present at the Gopinath Temple. Thousands of years after King Vajra, the same deity of Gopinath was rediscovered at Vamsi-Vat in Vrindavan, by Gadadhar Pandit's disciple Paramananda Bhattacharya. Later, the seva (service) was taken over by Sri Madhu Pandit, whose samadhi (burial -chamber) is located on the temple premises.
The original deity of Lord Madan Gopal was shifted from the shrine Madan Mohan Temple-Vrindavan to Karauli in Rajasthan for safe keeping during Aurangzeb's rule. Since then at the temple in Vrindavan a representation of the original deity is worshiped up until now.