Jamieson, Fausset and Brown on Jeremiah 31:9

9. weeping--for their past sins which caused their exile (Psa 126:5, 6). Although they come with weeping, they shall return with joy (Jr 50:4, 5).

supplications--(Compare Jr 31:18, 19; Jr 3:21-25; Zec 12:10). Margin translates "favors," as in Jos 11:20; Ezr 9:8; thus God's favors or compassions are put in opposition to the people's weeping; their tears shall be turned into joy. But English Version suits the parellelism best.

I will cause ... to walk by ... waters ... straight way--(Is 35:6-8; 43:19; 49:10, 11). God will give them waters to satisfy their thirst as in the wilderness journey from Egypt. So spiritually (Mt 5:6; Joh 7:37).

Ephraim--the ten tribes no longer severed from Judah, but forming one people with it.

my first-born--(Ex 4:22; Ho 11:1; Ro 9:4). So the elect Church (2Co 6:18; Jas 1:18).