Though some say that Psalm 2 is not considered messianic by the rabbis or Jewish sages, the Jewish messianic understanding of Psalm 2 has a long history. Some of the rabbinic sources which take a messianic interpretation of Psalm 2 are as follows:

Babylonian Talmud, Sukkah 52a

Our Rabbis taught, The Holy One, blessed be He, will say to the Messiah, the son of David (May he reveal himself speedily in our days!), 'Ask of me anything, and I will give it to thee', as it is said, I will tell of the decree etc. this day have I begotten thee, ask of me and I will give the nations for thy inheritance [Psalms 2:7-8].

Soncino Talmud edition.

Genesis Rabbah 44:8

R. Jonathan said: Three persons were bidden 'ask', viz.: Solomon, Ahaz, and the King Messiah. Solomon: Ask what I shall give thee (1 Kings III, 5). Ahaz: Ask thee a sign (Isa. VII, 11). The King Messiah: Ask of Me, etc. (Ps. II, 8).

Soncino Midrash Rabbah (vol. 1, pp. 365-366).

Pirke de-Rav Eliezer (9th c.), Section 28, on verse 1

All the nations will be gathered together to fight with the Son of David, as it is said: The kings of the earth set themselves, etc.

Cited in A. Lukyn Williams, A Manual of Christian Evidences for Jewish People (London: Society for Promoting Christian Knowledge, 1919), vol. 2, p. 123. The Hebrew is from the Lemberg edition of 1874. Williams adds: "It should, however, be stated that the MS. translated by Mr. G. Friedlander (1916) reads 'the house of David' instead of 'the Son of David.' Yet even that MS. is referring to events still future."

Rashi (11th c.)

Our teachers interpreted the subject of this Psalm with reference to King Messiah, but according to its plain meaning it will be right to expound it of David himself...

Cited in A. Lukyn Williams, A Manual of Christian Evidences for Jewish People (London: Society for Promoting Christian Knowledge, 1919), vol. 2, pp. 122-123.

Midrash on Psalms (11th c.)

This day have I begotten thee [Psalm 2:7]. R. Huna said: Suffering is divided into three portions: one, the Patriarchs and all the generations of men took; one, the generation that lived in the time of [Hadrian's] persecution took; and one, the generation of the lord Messiah will take. When the time comes, the Holy One, blessed be He, will say: "I must create the Messiah -- a new creation." As Scripture says, This day have I begotten thee -- that is, on the very day of redemption, God will create the Messiah.

Ask of Me, and I will give thee the heathen for thine inheritance, and the ends of the earth for thy possession (Ps. 2:8). God, speaking to the Messiah, says: If thou dost ask for dominion over the nations, already they are thine inheritance; if for the ends of the earth, already they are thy possession.

R. Johanan taught: To three men -- Solomon, Ahaz, and the lord Messiah -- the Holy One, blessed be He, said, "Ask of me." To Solomon, as is written In Gibeon the Lord appeared to Solomon in a dream by night; and God said: "Ask what I shall give thee" (1 Kings 3:5). To Ahaz, as is written "Ask thee a sign of the Lord thy God: ask it either in the depth, or in the height above" (Isa. 7:11)....To the lord Messiah, as is written Ask of Me, and I will give thee the nations for thine inheritance, and the ends of the earth for thy possession.

Williams G. Braude, translator, The Midrash on Psalms (New Haven: Yale University Press, 1987, © 1959; Yale Judaica Series), vol. 1, pp. 41-44.

Maimonides (11th c.), introduction to Sanhedrin, chapter 10

The prophets and the saints have longed for the days of the Messiah, and great has been their desire towards him, for there will be with him the gathering together of the righteous and the administration of good, and wisdom, and royal righteousness, with the abundance of his uprightness and the spread of his wisdom, and his approach to God, as it is said: The Lord said unto me, Thou art my son, to-day have I begotten thee.

Cited in A. Lukyn Williams, A Manual of Christian Evidences for Jewish People (London: Society for Promoting Christian Knowledge, 1919), vol. 2, p. 122.

David Kimchi (13th c.), comment on verse 12

There are those who interpret this psalm of Gog and Magog, and the "anointed" as the King Messiah; and thus did our rabbis of blessed memory interpret it (b. Berachot 7b).

Hebrew cited in A. Lukyn Williams, A Manual of Christian Evidences for Jewish People (London: Society for Promoting Christian Knowledge, 1919), vol. 2, p. 121. The Hebrew is from the edition of Schiller-Szinessy. English translation by Rich Robinson. Kimchi himself interpreted psalm as referring to King David, but his comment shows that the traditional interpretation was messianic.

Yalkut (13th c.), Section 621, similar to the Midrash on Psalms quoted above:

On verse 7:

R. Huna said in the name of R. Idi, In three parts were the punishments divided: one for King Messiah, and when His hour cometh the Holy One, blessed be He, saith, I must make a new covenant with Him, and so He saith, To-day have I begotten thee.

On verse 9:

"Thou wilt bruise them with a rod of iron"; this is Messiah ben Joseph.

Cited in A. Lukyn Williams, A Manual of Christian Evidences for Jewish People (London: Society for Promoting Christian Knowledge, 1919), vol. 2, pp. 121-122.