Jamieson, Fausset and Brown on Jeremiah 2:6

6. Neither said they, Where, &c.--The very words which God uses (Is 63:9, 11, 13), when, as it were, reminding Himself of His former acts of love to Israel as a ground for interposing in their behalf again. When they would not say, Where is Jehovah, &c., God Himself at last said it for them (compare see on Jr 2:2).

deserts ... pits--The desert between Mount Sinai and Palestine abounds in chasms and pits, in which beasts of burden often sink down to the knees. "Shadow of death" refers to the darkness of the caverns amidst the rocky precipices (De 8:15; 32:10).