Charles H. Spurgeon on Psalms 114:2

Judah was his sanctuary. Meaning not the tribe of Judah only, though they in many things had the preeminence; the kingdom belonged to it, the chief ruler being out of it, especially the Messiah; its standard was pitched and moved first; it offered first to the service of the Lord; and the Jews have a tradition, mentioned by Jarchi and Kimchi, that this tribe with its prince at the head of it, went into the Red Sea first: the others fearing, but afterwards followed, encouraged by their example. In this place all the tribes are meant, the whole body of the people. —John Gill.