This psalm is entitled simply "A Song of Degrees." See the Introduction to Psalm 120:1-7. There can be no reasonable doubt as to the occasion on which it was composed, for it bears internal evidence of having been composed with reference to the return from Babylon. It may have been designed to be sung as the returning captives went up to Jerusalem, but was more probably composed subsequently to that event, as designed to keep it in remembrance. It was evidently, however, written not long after the return, and by someone who had been personally interested in it, for the author manifestly, in describing the feelings of the people Psalm 126:1-2, speaks of himself as one of them, or as participating in those feelings which they had when the exile was closed, and when they returned to their own land. Who the author was, it is in vain now to conjecture.
It is evident from the psalm Psalm 126:5, that, when it was composed, there was still some trouble - something that might be called a "captivity," from which the psalmist prays that they might be delivered; and the object of the psalm would seem to be in part, in that trial to find encouragement from the former interposition of God in their case. As he had "turned the captivity of Zion," as he had filled their "mouth with laughter," so the psalmist prays that he would again interpose in similar circumstances, and renew his goodness. It is, of course, now impossible to determine precisely to what this refers. It may be, as Rosenmuller supposes, to a portion of the people who remained in exile; or it may be to some other captivity or danger to which they were exposed after their return. The psalmist, however, expresses entire confidence that there would be such interposition, and that, though then in trouble, they would have joy, such as the farmer has who goes forth sowing his seed with weeping, and who comes with joy in the harvest, bearing his sheaves with him, Psalm 126:5-6.

The joy of the Israelites on their return from captivity, and the effect their deliverance had upon the heathen, Psalm 126:1-3. The prayer which they had offered up, Psalm 126:4. The inference they draw from the whole, Psalm 126:5, Psalm 126:6.
This Psalm is not of David, has no title in the Hebrew or any of the Versions, and certainly belongs to the close of the captivity. It might have been composed by Haggai and Zechariah, as the Syriac supposes; or by Ezra, according to others. It is beautiful, and highly descriptive of the circumstances which it represents.

INTRODUCTION TO PSALM 126
A Song of degrees. This psalm is generally thought to have been written by Ezra, or some good man returned from the Babylonish captivity, and on account of it: the inscription in the Syriac version of it, besides observing it to be a song of degrees or ascents, and without a name, is,
"it is said of Haggai and Zechariah, who came up out of Babylon with the captives; but spiritually; and it is an expectation of good things to come.''
It may have respect to redemption by the Messiah; and the conversion of the Jews in the latter day.

(Psalm 126:1-3) Those returned out of captivity are to be thankful.
(Psalm 126:4-6) Those yet in captivity are encouraged.

The Harvest of Joy after the Sowing of Tears
It is with this Psalm, which the favourite word Zion connects with the preceding Psalm, exactly as with Psalm 85:1-13, which also gives thanks for the restoration of the captive ones of Israel on the one hand, and on the other hand has to complain of the wrath that is still not entirely removed, and prays for a national restoration. There are expositors indeed who also transfer the grateful retrospect with which this Song of degrees (Psalm 126:1-3), like that Korahitic Psalm (Psalm 126:2-4), begins, into the future (among the translators Luther is at least more consistent than the earlier ones); but they do this for reasons which are refuted by Psalm 85:1-13, and which are at once silenced when brought face to face with the requirements of the syntax.