I found when I was mixing the gospel with the law that I was never comforted. I had a persitent, nagging tension or spirtual sadness because of my sin. Thanks to Thomas Waston for highlighting that God may have withdrawn comfort until I grasped his grace or, more likely, showing that the fault lay with me:
…though the Lord might by virtue of his sovereignty withhold comfort from the mourner, yet there may be many pregnant causes assigned why mourners lack comfort in regard of God and also in regard of themselves.
1 In regard of God: He sees it fit to withhold comfort that he may raise the value of grace. We are apt to esteem comfort above grace, therefore God locks up our comforts for a time, that he may enhance the price of grace.
2 That God’s mourners lack comfort, it is most frequency in regard of themselves.
(i) Through mistake, which is twofold. They do not go to the right spring for comfort. They go to their tears, when they should go to Christ’s blood. It is a kind of idolatry to make our tears the ground of our comfort. Mourning is not meritorious. It is the way to joy, not the cause.
(ii) God’s mourners sometimes lack comfort through discontent and peevishness. David makes his disquiet the cause of his sadness. ‘Why art thou cast down, O my soul? Why art thou disquieted within me?’ (Psalm 43: 5). A disquieted heart, like a rough sea, is not easily calmed.
(iii) The mourner is without comfort for want of applying the promises. He looks at sin which may humble him, but not at that Word which may comfort him. The mourner’s eyes are so full of tears that he cannot see the promise
(iv) The mourner may lack comfort through too much earthly-mindedness; by feeding immoderately on earthly comforts we miss of heavenly comforts.
(v) Perhaps the mourner has had comfort and lost it.