At the ninth hour, or about three in the afternoon, a loud voice, surpassing the most anguished cry of physical suffering issued from the cross, rending the dreadful darkness. It was the voice of Christ: “My God, my God, why hast thou forsaken me?” What mind of man can fathom the significance of that awful cry? It seems that in addition to the fearful suffering incident to crucifixion, the agony of Gethsemane had recurred, intensified beyond human power to endure. In that bitterest hour the dying Christ was left alone, alone in most terrible reality. That the supreme sacrifice of the Son might be consummated in all its fullness, the Father seems to have withdrawn the support of His immediate Presence, leaving the Savior of men the glory of complete victory over the forces of sin and death.
Elder James E. Talmage, Jesus The Christ p. 661 (emphasis added)
See also D&C 133:50