Psalms 2:6 - Coke's Commentary on the Holy Bible

Yet have I set my King— It should have been rendered, I, even I, have anointed my King on Sion, or rather, over Sion, the mountain of my holiness. We do not read that David was ever anointed on Mount Sion, or in Jerusalem, king over Israel; and the meaning is not that God had anointed David on Sion, but to be king and reign in Sion; because David had chosen it for his own residence, and God for the habitation of the ark. The meaning of the passage seems to be this: David, probably, had some intelligence of the new confederacy which was forming against him. But he speaks of the confederate princes and nations with contempt; fully assured that their schemes would all be frustrated. How could he be thus assured? Because God had anointed him king; and, therefore, as they were confederate against God and his anointed, all their projects must finally come to nothing; and God would soon convince them of it, by speaking to them in his wrath, and letting them know by the most convincing arguments—I, even I, have anointed, or established my king on Sion.