The devotee in Kṛṣṇa consciousness has nothing for which to lament or desire. Since God is full, a living entity who is engaged in God's service, in Kṛṣṇa consciousness, becomes also full in himself. He is just like a river cleansed of all dirty water. Because a pure devotee has no thought other than Kṛṣṇa, he is naturally always joyful. He does not lament for any material loss or aspire for gain, because he is full in the service of the Lord. He has no desire for material enjoyment, because he knows that every living entity is a fragmental part and parcel of the Supreme Lord and therefore eternally a servant.
(Bhagavad-Gita---18:54---purport).

Material compassion, lamentation and tears are all signs of ignorance of the real self. Compassion for the eternal soul is self-realization. The word "Madhusūdana" is significant in this verse. Lord Kṛṣṇa killed the demon Madhu, and now Arjuna wanted Kṛṣṇa to kill the demon of misunderstanding that had overtaken him in the discharge of his duty. No one knows where compassion should be applied. Compassion for the dress of a drowning man is senseless. A man fallen in the ocean of nescience cannot be saved simply by rescuing his outward dress—the gross material body. One who does not know this and laments for the outward dress is called a śūdra, or one who laments unnecessarily. Arjuna was a kṣatriya, and this conduct was not expected from him. Lord Kṛṣṇa, however, can dissipate the lamentation of the ignorant man, and for this purpose the Bhagavad-gītā was sung by Him.
(Bhagavad-Gita---2:1---purport).

If economic development and material comforts could drive away one's lamentations for family, social, national or international inebrieties, then Arjuna would not have said that even an unrivaled kingdom on earth or supremacy like that of the demigods in the heavenly planets would be unable to drive away his lamentations. He sought, therefore, refuge in Kṛṣṇa consciousness, and that is the right path for peace and harmony. Economic development or supremacy over the world can be finished at any moment by the cataclysms of material nature. Even elevation into a higher planetary situation, as men are now seeking on the moon planet, can also be finished at one stroke. The Bhagavad-gītā confirms this: kṣīṇe puṇye martya-lokaṁ viśanti. "When the results of pious activities are finished, one falls down again from the peak of happiness to the lowest status of life." Many politicians of the world have fallen down in that way. Such downfalls only constitute more causes for lamentation. Therefore, if we want to curb lamentation for good, then we have to take shelter of Kṛṣṇa, as Arjuna is seeking to do. So Arjuna asked Kṛṣṇa to solve his problem definitely, and that is the way of Kṛṣṇa consciousness.
(Bhagavad-Gita---2:8---purport).

Simply by giving aural reception to this Vedic literature, the feeling for loving devotional service to Lord Kṛṣṇa, the Supreme Personality of Godhead, sprouts up at once to extinguish the fire of lamentation, illusion and fearfulness.
(Srimad Bhagavatam---1:7:7---purport).

Despite the power of pious acts, the power of personalities, the power of expert management and the power of weapons under the direct supervision of Lord Kṛṣṇa, the Pāṇḍavas suffered so many practical reverses, which can only be explained as due to the influence of kāla, inevitable time. Kāla is identical with the Lord Himself, and therefore the influence of kāla indicates the inexplicable wish of the Lord Himself. There is nothing to be lamented when a matter is beyond the control of any human being.
(Srimad Bhagavatam---1:9:15---purport).

The devotees of the Lord are by nature peaceful because they have no material hankering. A liberated soul has no hankering, and therefore he has no lamentation. One who wants to possess also laments when he loses his possession. Devotees have no hankerings for material possessions and no hankerings for spiritual salvation. They are situated in the transcendental loving service of the Lord as a matter of duty, and they do not mind where they are or how they have to act. Karmīs, jñānīs and yogīs all hanker to possess some material or spiritual assets. Karmīs want material possessions, jñānīs and yogīs want spiritual possessions, but devotees do not want any material or spiritual assets. They want only to serve the Lord anywhere in the material or spiritual worlds that the Lord desires, and the Lord is always specifically compassionate towards such devotees.
(Srimad Bhagavatam----3:2:15---purport).

What are the graces of the Lord? It is stated here that the graces of the Lord are abhaya, free from fearfulness. In the material world, if someone accumulates a million dollars, he is always full of fear because he is always thinking, "What if the money is lost?" But the benediction of the Lord, bhagavat-prasāda, is never to be lost. It is simply to be enjoyed. There is no question of loss. One simply gains and enjoys gaining. Bhagavad-gītā also confirms this: when one achieves the grace of the Lord, the result is that sarva-duḥkhāni, all distresses, are destroyed. When situated in the transcendental position, one is freed from the two kinds of material diseases—hankering and lamentation.
(Srimad Bhagavatam---3:23:7---purport).

The small particles of soul are just like sparks of the larger soul. The greatest soul is the Supersoul, but the Supersoul is quantitatively different from the small soul. The Supersoul is described in the Vedic literature as the supplier of all necessities of the smaller soul (nityo nityānām). One who understands this distinction between the Supersoul and the individual soul is above lamentation and is in a peaceful position. When the smaller soul thinks himself quantitatively as big as the larger soul, he is under the spell of māyā, for that is not his constitutional position. No one can become the greater soul simply by mental speculation.
(Srimad Bhagavatam---3:28:43---purport).

When one is completely fixed in the service of the Lord, he is a liberated person in any condition of life. He is called jīvan-muktaḥ, liberated even within this body. In such a liberated condition, there is no distinction between actions for sense gratification and actions for liberation. When one is liberated from the desires of sense gratification, he has no longer to suffer the reactions of lamentation or illusion. Activities performed by the karmīs and jñānīs are subject to lamentation and illusion, but a self-realized liberated person acting only for the Supreme Personality of Godhead experiences none.
(Srimad Bhagavatam---4:22:27---purport).