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What did Our Lord Jesus mean by "My God My God why hast Thou forsaken Me"?

This expression denotes the intense suffering of our Lord Jesus Christ while carrying the sins of the whole humanity that had fallen under the power of darkness. This sin load brought about the wrath of the Father who by His nature cannot tolerate sin. God forsook Him to agony, and pain only to allow salvation to take its course as the Holy Book of Isaiah says, "But He was wounded for our transgressions, he was bruised for our iniquities; the chastisement for our peace was upon Him, and by His stripes we are healed. All we like sheep have gone astray; we have turned, every one, to his own way; and the LORD has laid on Him the iniquity of us all" (Isaiah 53:5-6).

These words "My God My God why hast Thou forsaken Me" are taken from Holy Book of Psalm 22 which prophetically describes the sufferings of the Lord. When Our Lord Jesus Christ uttered these words, he was fulfilling a prophecy about Himself, and was giving the Jews a chance to recognize Him as the Messiah whom the psalm has referred to.