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But they were too late; stranded at the foot of Iraq's Mount Sinjar by the huge crowds of refugees struggling uphill, they were easy pickings when fighters arrived.
Separated first from her father, and then from her sisters, she was forced -- like thousands of Yazidi women -- into slavery, treated as the property of the so-called "Islamic State."
Speaking exclusively to CNN, Zeinat (not her real name), 16, has told of how al-Baghdadi beat and mistreated her. She also says he raped American hostage Kayla Mueller, who was held captive by the group after being taken hostage in 2013.
"He treated us so badly," she says, her beautiful, expressive blue eyes peering out fearfully from behind a rust-red tasseled headscarf as she relates her harrowing ordeal at the hands of one of the world's most wanted men.
"He would always tell us: Forget your father and your brothers. We have killed them. And we have married off your mothers and sisters. Forget them."
Selected by the terrorist leader -- though she did not know who he was at the time -- at a slave market in "a white palace ... between the mountain and the sea," Zeinat and eight other girls were taken to his home in Raqqa, Syria, the de facto capital of ISIS' territory.
As soon as she arrived, she says, she was made to watch a video showing ISIS fighters beheading a Westerner and threatened with the same fate unless she agreed to abandon her Yazidi faith.
"There was a journalist, an American journalist, and there was a man dressed all in black," she remembers. "He killed the journalist. He beheaded him."
(Al-Baghdadi) showed us this on the laptop, and they said to me, 'If you don't convert to Islam, this will happen to you -- we will behead all of you,'" she recalls.
"'You have two choices,' they said. 'Convert to Islam. Or die like this.'"
Later, Zeinat says, they were moved to a house belonging to Abu Sayyaf, a high-ranking ISIS fighter who U.S. officials say was in charge of ISIS's substantial oil revenues.
Mueller, she says, confided that she had been raped by al-Baghdadi.
"When Kayla came back to us (after being taken to see al-Baghdadi), we asked her, 'Why are you crying?' And Kayla told us al-Baghdadi said: 'I am going to marry you by force and you are going to be my wife. If you refuse, I will kill you.'
"Kayla told me specifically ... 'Abu Bakr al-Baghdadi raped me.' (She said he raped her) four times."