Calvin:

And wept over it. As there was nothing which Christ more ardently desired than to execute the office which the Father had committed to him, and as he knew that the end of his calling was to gather the lost sheep of the house of Israel, (Matthew 15:24,) he wished that his coming might bring salvation to all. This was the reason why he was moved with compassion, and wept over the approaching destruction of the city of Jerusalem. For while he reflected that this was the sacred abode which God had chosen, in which the covenant of eternal salvation should dwell–the sanctuary from which salvation would go forth to the whole world, it was impossible that he should not deeply deplore its ruin. And when he saw the people, who had been adopted to the hope of eternal life, perish miserably through their ingratitude and wickedness, we need not wonder if he could not refrain from tears.

John Calvin, Luke 19:41

[Notes: To be clear, for Calvin, “the lost sheep of the house of Israel” refers to both the elect and non-elect of the nation of Israel. Calvin:

1) But go rather to the lost sheep. The first rank, as we have said, is assigned to the Jews, because they were the firstborn; or rather, because at that time they alone were acknowledged by God to belong to his family, while others were excluded. He calls them lost sheep, partly that the apostles, moved by compassion, may more readily and with warmer affection run to their assistance, and partly to inform them that there is at present abundant occasion for their labors. At the same time, under the figure of this nation, Christ taught what is the condition of the whole human race. The Jews, who were near to God, and in covenant with him, and therefore were the lawful heirs of eternal life, are nevertheless pronounced to be lost, till they regain salvation through Christ. What then remains for us who are inferior to them in honor? Again, the word sheep is applied even to the reprobate, who, properly speaking, did not belong to the flock of God, because the adoption extended to the whole nation; as those who deserved to be rejected, on account of their treachery, are elsewhere called the children of the kingdom, Matthew 8:12.) In a word, by the term sheep, Christ recommends the Jews to the apostles, that they may dedicate their labors to them, because they could recognize as the flock of God none but those who had been gathered into the fold. John Calvin Matthew 10:6.

2) 24. I am not sent. He informs the Apostles that his reason for refusing the woman of Canaan arises out of his desire to devote himself entirely to the Jews to whom alone he was appointed to be a minister of the grace of God. He argues from the call and the command of the Father, that he must not yield any assistance to strangers; not that the power of Christ was always confined within so narrow limits, but because present circumstances rendered it necessary that he should begin with the Jews, and at that time devote himself to them in a peculiar manner. For as I have said in expounding Matthew 10:5, the middle wall of partition (Ephesians 2:14) was not thrown down till after Christ’s resurrection that he might proclaim peace to the nations which were aliens from the kingdom of God: and therefore he prohibited the Apostles, at that time, from scattering anywhere but in Judea the first seed of doctrine. Justly therefore, does he affirm that, on this occasion, he was sent to the Jews only, till the Gentiles also followed in the proper order.

To the lost sheep of the house of Israel. He bestows the designation of sheep of the house of Israel not on the elect only, but on all who were descended from the holy fathers; for the Lord had included all in the covenant, and was promised indiscriminately to all as a Redeemer, as he also revealed and offered himself to all without exception. It is worthy of observation, that he declares himself to have been sent to LOST sheep, as he assures us in another passage that he came to save that which was lost, (Matthew 18:11.) Now as we enjoy this favor, at the present day, in common with the Jews, we learn what our condition is till he appear as our Savior. Calvin, Matthew 15:24.]