In his fascinating lecture on “Reading the Psalms Messianically,” Gordon Wenham recommends The Letter of St. Athanasius to Marcellinus on the Interpretation of the Psalms.
Having followed that recommendation, I am now passing it on, and I would also recommend having a listen (or multiple listens) to Wenham’s lecture. The most striking thing, for me, about Athanasius’s letter is his absolutely thorough knowledge of the Psalms! What a gift to be spurred on to a closer and more comprehensive knowledge of the Psalms!
By the way, if you have the SVS Press edition of Athanasius’s On the Incarnation (the one with the brilliant introduction by C. S. Lewis), the letter to Marcellinus on the interpretation of the Psalms is included as an appendix.