Says misaligned &. Not sure why

Question

\[
P\{\text{ever enter}\ j\rvert \text{start in}\ i\}
= P\bigg\{\bigcup_{n=0}^{\infty} \{X_n = j \bigg\rvert X_0 = i \bigg\}
& \leq \sum_{n=0}^{\infty} P\{X_n = j \rvert X_0 = i\}
& = \sum_{n=0}^{\infty} P_{ij}^{n}
& = 0
\]

Answer 1

I assume there are missing new line commands as well as an inside aligned or similar:

\documentclass{article}
\usepackage{amsmath}
\begin{document}
\[
  \begin{aligned}
    P\{\text{ever enter}\ j\rvert \text{start in}\ i\}
    & = P\bigg\{\bigcup_{n=0}^{\infty} \{X_n = j \bigg\rvert X_0 = i \bigg\}
    \\
    & \leq \sum_{n=0}^{\infty} P\{X_n = j \rvert X_0 = i\}
    \\
    & = \sum_{n=0}^{\infty} P_{ij}^{n}
    \\
    & = 0
  \end{aligned}
\]
\end{document}

The inner aligned makes sense, if the whole system gets one equation number; e.g., if environment gather or equation replaces \[ and \].

Without numbers, the star form align* can be used instead of \[/\] and the inner aligned.

Answer 2

While Heiko's answer addresses the main point, it doesn't fix several typographic mistakes in the source.

1. \rvert is a right vertical bar, used as a delimiter on the right; it should be \mid when used as a separator for conditions and | if it follows \left, \right or \[bB]ig[g]m (see below)

2. \bigg makes an ordinary symbol; in order to produce a delimiter, it should be \biggl or \biggr, depending on the side; for a separator (technically a relation symbol) it should be \biggm; such lrm variants exist for \big, \Big, \bigg and \Bigg.

3. \text{ever enter }j and \text{ever enter}\ j are clumsy and error prone; much better is \text{ever enter $j$}

4. When a big delimiter is followed by a \sum-like operator (here \bigcup) having a wide condition underneath, it's better to give some more room with \,

5. A brace is missing in the first summation.

Complete example

\documentclass{article}
\usepackage{amsmath}
\begin{document}

\[
\begin{aligned}
  P\{\text{ever enter $j$} \mid \text{start in $i$}\}
  & = P\biggl\{\,\bigcup_{n=0}^{\infty} \{X_n = j\} \biggm| X_0 = i \biggr\}
  \\
  & \leq \sum_{n=0}^{\infty} P\{X_n = j \mid X_0 = i\}
  \\
  & = \sum_{n=0}^{\infty} P_{ij}^{n}
  \\
  & = 0
  \end{aligned}
\]

\end{document}