Question: "Why did Jesus say, 'My God, my God, why have you forsaken me?'"
Answer: “And about the ninth hour Jesus cried with a loud voice, saying, Eli, Eli, lama sabachthani? that is to say, My God, my God, why hast thou forsaken me?” (Matthew 27:46, KJV). This cry is a fulfillment of Psalm 22:1, one of many parallels between that psalm and the specific events of the crucifixion. It is difficult to understand in what sense Jesus was “forsaken” by God. It is certain that God approved His work. It is certain that Jesus was innocent. He had done nothing to forfeit the favor of God. As God’s own Son—holy, harmless, undefiled, and obedient—God still loved Him. In none of these senses could God have forsaken Him.
The prophet Isaiah says this about the Messiah: “Surely he took up our pain and bore our suffering, yet we considered him punished by God, stricken by him, and afflicted. But he was pierced for our transgressions, he was crushed for our iniquities; the punishment that brought us peace was on him, and by his wounds we are healed” (Isaiah 53:4–5). Jesus redeemed us from the curse of the law, being made a curse for us (Galatians 3:13). He was made a sin-offering, and He died in our place, on our account, that He might bring us near to God. It was this, doubtless, that intensified His sufferings and part of why Jesus said, “My God, my God, why have you forsaken me?” It was the manifestation of God’s hatred of sin, in some unexplained way, that Jesus experienced in that terrible hour. The suffering He endured was due to us, and it is that suffering by which we can be saved from eternal death.
In those awful moments, as evil men were allowed to do whatever they wanted to Jesus, our Lord expressed His feelings of abandonment. God placed the sins of the world on His Son, and Jesus for a time felt the desolation of being unconscious of His Father’s presence. It was at this time that “God made Him who had no sin to be sin for us, so that in Him we might become the righteousness of God” (2 Corinthians 5:21).
There is another possible reason for Jesus to cry out, “My God, my God, why have you forsaken me?” It could be that Jesus’ intent in quoting Psalm 22:1 was to point His hearers to that psalm. When they read Psalm 22, they would no doubt see the many fulfilled prophecies included in that song of David. Even while experiencing the agony of the cross, Jesus was teaching the crowds and proving yet again that He was the Messiah who fulfilled the Scriptures.