Albert Barnes on Romans 9:2

Great heaviness. Great grief.

Continual sorrow. The word rendered continual here must be taken in a popular sense. Not that he was literally all the time pressed down with this sorrow, but that whenever he thought on this subject he had great grief; as we say of a painful subject, it is a source of constant pain. The cause of this grief, Paul does not expressly mention, though it is implied in what he immediately says. It was the fact that so large a part of the nation would be rejected and cast off.