John Gill Commentary Psalms 126:3

"Jehovah hath done great things for us, [Whereof] we are glad." — Psalms 126:3 (ASV)

The Lord has done great things for us
These words are generally supposed to be the words of the Jews, taking up those of the Gentiles, and confirming them; acknowledging that the Lord had done great things for them indeed; which, had they not owned, they would have been exceeding ungrateful; had they been silent concerning them, the stones would have cried out, and the very Heathens condemned them. But I see not why they may not be thought to be the words of those among the Heathens continued; declaring that the great things done were not for the Jews only, but for them also; as the great redemption by Christ is of persons out of every tongue, people, and nation; for he is the propitiation, not for the Jews only, but for the sins of the whole world; and having this in view, thus they express themselves.

The work of redemption is a great thing of itself; the produce of great wisdom; the effect of great love; procured at a great price, for great sinners, by a great Saviour; and is not only a deliverance from sin, Satan, and the law; but contains many great and glorious blessings in it, as justification, remission of sins, adoption, and eternal life;

[whereof] we are glad ;
that those great things are done without us, finished by the Redeemer himself; that they are so great and glorious, so rich and plenteous, so full and free, and suitable to us; and done for us sinners of the Gentiles, so unworthy of them, who are by nature children of wrath as others.