Before Jesus died on the cross, the gospel accounts record seven specific statements that He made. Perhaps the most enigmatic of these comes from Matthew's gospel. On the day of Jesus's crucifixion, the sky grew dark from around noon until 3:00 p.m. During this time, Christ cried out, "Eli, Eli, lema sabachtani," a phrase that presents a number of questions.
The phrase likely consists of both Hebrew (Eli) and Aramaic (lema sabachthani), which was the common language of the people in Israel at the time. This would explain why bystanders assumed Jesus called for Elijah in Matthew 27:47. (Eli, Eli sounds similar to 'Eliyahu, the Hebrew for Elijah). The writer, however, provides the correct translation for us: "My God, my God, why have you forsaken me?"
Jesus knew His mission on earth would take Him to the cross, since He told His disciples this would happen on a number of occasions. So, the cry did not imply bewilderment and was intended for the bystanders, many of whom failed to understand. Matthew, however, wanted the readers to see the deeper meaning.
While such a proclamation from someone who is both fully God and fully human may seem odd, Matthew's gospel in particular emphasizes how the events of the crucifixion correlate with Psalm 22. Jesus presents the ultimate example of the innocent sufferer, which is the focus of that psalm. So, Jesus's cry should be considered in the context of innocent suffering that looks forward to a day when "All the ends of the earth shall remember and turn to the Lord" (Psalms 22:27).
In other words, Jesus took the wrath of God-forsakenness on Himself. Although innocent, He took the punishment so that others could be saved.