Thy statutes have been my songs in the house of my pilgrimage. Meaning either his unsettled state, fleeing from place to place before Saul; or, literally, his house of cedar, his court and palace, which he considered no other than as an inn he had put into upon his travels homeward; or rather the earthly house of his tabernacle, in which, as long as he continued, he was but a pilgrim and stranger; or, best of all, the whole course of his life; which Jacob calls the days of the years of his pilgrimage, Ge 47:9; so Hipparchus the Pythagorean calls this life a sort of a pilgrimage; and Plato also.
This world is not the saints house and home; this is not their rest and residence; they confess themselves pilgrims and strangers here; and that they belong to another city, and a better country, an heavenly one, which they are seeking and travelling to, Heb 11:13.
And as travellers sing songs to themselves as they pass on, which makes the way the more easy and pleasant to them, so the psalmist had his songs which he sung in his pilgrimage state; and these were the statutes, or word of the Lord, and the things in it, which were as delightful to him as the songs of travellers to them.
Or the songs he made and sung were composed out of the word of God; and which may serve to recommend the psalms, hymns, and spiritual songs, made by him, the sweet psalmist of Israel, to the Gospel churches, to be sung by them, Eph 5:19.
De Anim. Tranquill. inter Fragm. Pythagor. p. 11. Ed.