But they understood not - This whole verse is wanting in two MSS., in the first edition of Erasmus, and in that of Aldus. Mill approves of the omission. It does not appear likely, from Matthew's account, that three of the disciples, Peter, James, and John, could be ignorant of the reasons of Christ's death and resurrection, after the transfiguration; on the contrary, from the circumstances there related, it is very probable that from that time they must have had at least a general understanding of this important subject; but the other nine might have been ignorant of this matter, who were not present at the transfiguration; probably it is of these that the evangelist speaks here. See the observations on the transfiguration, Matthew 17:9 (note), etc., and Matthew 18:1 (note).

But they understood not that saying,.... Meaning either the whole of what he had said, concerning his delivery, death, and resurrection: and which then must be interpreted with some limitation; for they must understand the sense of his words, which were clear and express; especially concerning his death, which affected their minds with trouble and grief; for Matthew says, "they were exceeding sorry upon it"; see Gill on Matthew 17:23; but they could not understand how it could be, and upon what account, and for what end, so holy and good, and innocent a man as he was, could be put to death; nor how this could consist with his character, as the Son of God, the Messiah, and king of Israel; and with the notions they had of the Messiah's abiding for ever, and setting up a temporal kingdom on earth: or this may regard only his resurrection from the dead; which whether it was to be taken in a literal or mystical sense, they could not tell:
and were afraid to ask him; lest they should be upbraided with their ignorance and stupidity, as they had been lately rebuked by him for their unbelief, and the neglect of their duty; and as Peter had been severely reprimanded for expostulating with him about the selfsame things, delivered by him to them, not before.

But they understood not that saying--"and it was hid from them, [so] that they preceived it not" (Luke 9:45).
and were afraid to ask him--Their most cherished ideas were so completely dashed by such announcements, that they were afraid of laying themselves open to rebuke by asking Him any questions. But "they were exceeding sorry" (Matthew 17:23). While the other Evangelists, as WEBSTER and WILKINSON remark, notice their ignorance and their fear, Matthew, who was one of them, retains a vivid recollection of their sorrow.

They understood not the word - They did not understand how to reconcile the death of our Saviour (nor consequently his resurrection, which supposed his death) with their notions of his temporal kingdom.