John Chrysostom

"Go ye and learn what that meaneth, I will have mercy, and not sacrifice." Now this He said, to upbraid them with their ignorance of the Scriptures. Wherefore also He orders His discourse more sharply, not Himself in anger, far from it; but so as that the publicans might not be in utter perplexity. …

Homily on the Gospel of Matthew 30 ↗

Jerome

I desire mercy, and not sacrifice. For I did not come to call the righteous, but sinners. And the Lord was going to the feasts of sinners, so that He may have an opportunity to teach and provide spiritual food to His invited guests. Ultimately, as He was frequently described as going to feasts, it is only important what He did there, what He taught, in order to demonstrate both the humility of the Lord in going to sinners and the power of His teaching in the conversion of repentant sinners. …

Commentary on Matthew ↗

Hilary of Poitiers

Christ came for all; how is it then that He says He came not for the righteous? Were there those for whom it needed not that He should come? But no man is righteous by the law. He shows how empty their boast of justification, sacrifices being inadequate to salvation, mercy was necessary for all who were set under the Law.

Catena Aurea by Aquinas ↗

Thomas Aquinas

Secondly, he cites a scriptural text, saying, "Go and learn what this means..." As if to say: You do not understand the Scripture, but go and learn what this means: "I desire mercy and not sacrifice." This is written in Hosea (6:6). And it is explained in two ways: First, so that one is understood to be preferred to the other, because I desire mercy more than sacrifice; hence one sacrifice is preferred to another. A lamb is a sacrifice and so is mercy; for by such offerings God shows mercy. Therefore, which of these is better? …

Commentary on Matthew ↗