Radak: He composed it when he was fleeing Sha'ul. Malbim - it was based on Gad's Nevu'ah that he will return to Eretz Yehudah, and the Urim v'Tumim's answer that he should go to Ke'ilah to save Yisrael from Pelishtim. He was closed in Ke'ilah, and then Sha'ul chased him. Hashem informed him via the Urim v'Tumim that Anshei Ke'ilah will not be faithful, and will hand him over to Sha'ul. David went to the Midbar Metzados, and in Midbar Zif; the Zifim told Sha'ul. Sha'ul and his men surrounded David, and Hashem saved him (Shmuel I, Perek 23).