Learn English – “Joined him at” or “joined him in”

The second sentence is correct. When the subject is himself becoming part of something, "join" takes a direct object:

He's finally joined the gym.
He joined the army.

When a person or some other actor "joins" some other things, it seems that we can use to:

Check whether you have joined the computer to a homegroup.

Remove the check from the box to accept the user who joined the computer to the domain and whose name is displayed.

Here, a person joins his computer to a homegroup; a user joins his computer to the domain. The computer does not join a homegroup or the domain under its own will.

Another sentence, from Google Books:

In 1618, on the death of Duke Albert of Prussia, East Prussia was finally joined to the Electorate of Brandenburg. (Albert Seaton, 1973)

We have the passive-voice construction: East Prussia was "joined" by some external will to another state.

Prepositions can be combined with verbs in English to form "phrasal verbs." When they do this, they're really an adverb (or "particle"), not a preposition.

Most common prepositions can also work as these "particles."

In some cases it changes the meaning of the verb entirely, in other cases it's just a form of emphasis or to communicate the idea of "completely" (particularly with up).

I broke the box (The box has sustained damaged and is unusable)

I broke down the box (The box has been taken apart but can still be used if put back together)

Down and up are often used as these particles with verbs of motion to communicate that the motion happens along the entire length of a distance, such as a street, etc.