O my God, I trust in thee - This is the first thought - a feeling that he had true confidence in God, and that in all the duties of life, in all his trials, and in all his hopes for the future, his reliance was on God alone.

Let me not be ashamed - That is, let me never be so forsaken by thee as to have occasion for shame that I have thus trusted in thee. The prayer is not that he might never be ashamed to avow and confess his trust in God, but that he might "find" God to be such a helper and friend that he might never be ashamed on account of the trust which he had put in Him, as if it had been a false reliance; that he might not be disappointed, and made to feel that he had done a foolish thing in confiding in One who was not able to help him. See the word explained in the notes at Job 6:20. Compare Isaiah 30:5; Jeremiah 8:9; Jeremiah 14:3-4.

Let not mine enemies triumph over me - This explains what the psalmist meant by his prayer that he might not be "ashamed," or put to shame. He prayed that he might not be vanquished by his foes, and that it might not appear that he had trusted in a Being who was unable to defend him. Applied now to us, the prayer would imply a desire that we may not be so overcome by our spiritual foes as to bring dishonor on ourselves and on the cause which we profess to love; that we may not be held up to the world as those who are unable to maintain the warfare of faith, and exposed to scorn as those who are unfaithful to their trust; that we may not be so forsaken, so left to trial without consolation, so given over to sadness, melancholy, or despair, as to leave the world to say that reliance on God is vain, and that there is no advantage in being his friends.

Psalm 25:2 Parallel Commentaries

Both Things are Specially Worthy of Notice. ...
Both things are specially worthy of notice. First, let every one in professing to pray turn thither all his thoughts and feelings, and be not (as is usual) distracted by wandering thoughts; because nothing is more contrary to the reverence due to God than that levity which bespeaks a mind too much given to license and devoid of fear. In this matter we ought to labour the more earnestly the more difficult we experience it to be; for no man is so intent on prayer as not to feel many thoughts creeping …
John Calvin—Of Prayer--A Perpetual Exercise of Faith

Out of the Deep of Suffering and Sorrow.
Save me, O God, for the waters are come in even unto my soul: I am come into deep waters; so that the floods run over me.--Ps. lxix. 1, 2. I am brought into so great trouble and misery: that I go mourning all the day long.--Ps. xxxviii. 6. The sorrows of my heart are enlarged: Oh! bring Thou me out of my distress.--Ps. xxv. 17. The Lord hath heard the voice of my weeping: the Lord will receive my prayer.--Ps. vi. 8. In the multitude of the sorrows which I had in my heart, Thy comforts have refreshed …
Charles Kingsley—Out of the Deep

"He is the Rock, his Work is Perfect. For all his Ways are Judgment. A God of Truth, and Without Iniquity, Just and Right is He.
Deut. xxxii. 4, 5.--"He is the rock, his work is perfect. For all his ways are judgment. A God of truth, and without iniquity, just and right is he. They have corrupted themselves, their spot is not the spot of his children. They are a perverse and crooked generation." "All his ways are judgment," both the ways of his commandments and the ways of his providence, both his word which he hath given as a lantern to men's paths, and his works among men. And this were the blessedness of men, to be found …
Hugh Binning—The Works of the Rev. Hugh Binning