Rejoice always, pray without ceasing, in everything give thanks; for this is the will of God in Christ Jesus for You. (1 Thessalonians 5:16-18, NJKV)
The ancient city of Thessalonica was the capital of the Roman province Macedonia, making it a hotspot for Roman travel, trade, politics, and religion in the region. And when Paul preached in Thessalonica, he quickly encountered much hostility from local non-believers. After Paul left, the Thessalonians continued to experience similar hostility and persecution in the city. Against this backdrop of hostile daily life, we read Paul’s isntructions to the Thessalonian church.
Confession time. When God lets my life get uncomfortable, I get upset. Personally, my issue is anger. When life starts piling on the difficulties, even the small annoyances that I can usually shake off feel like red-hot iron pokers burning away sanity.
Maybe you’re like me and your issue is anger. Or maybe your struggle is with discouragement, doubt, and despair. Or, perhaps, when life closes in around you, you detach from the world and run away. Whatever your response, all of us at various times experience the pressures of life weighing heavily on us.
But imagine being a Thessalonian believer. You’re living in the center of a pagan world that worships their gods with gluttonous parties, drunkenness, wild orgies, and so forth. As a Thessalonian, you used to do those things, too. But now, as a believer in Jesus, He has set you free from those lifestyles of sin and you don’t do those things anymore. But your old friends aren’t ok with that. They won’t sell you food, clothes, or other necessities. They won’t socialize with you anymore. And if you start telling them about Jesus, they literally drag you and your family out of your house and beat you.
As a Thessalonian, your first pastor, Paul, and his ministry team were forced out of town by such hostility. But he has heard about your struggles and he has written you a letter, encouraging you to give thanks in everything. How absurd!
But Paul doesn’t say, “rise up and slaughter the offenders,” or “take them to court and squeeze every penny from them,” or “run for office and force Christian morals on society.” Those are the methods of men. They’re not our mission from God.
God’s will for us is to let Him transform our hearts and minds into the likeness of His Son, Jesus Christ. God’s mission for us is to go out, into all the unbelieving world, preaching the gospel and making disciples of the nations. Both God’s will and God’s mission require us to remember the single most important fact of every believer’s existence:
Jesus Christ died for our sins, saved us from death, and gives us eternal life.
It is this reality that enables us and impels us to be thankful at all times, in all things. One author explains the situation this way,
[Remember] Rom. 8:28, [how] all of which cooperate for good to God’s children and thus call forth our thanks to God. We need to learn this secret of the happy Christian life—thankfulness. If everything actually conspires to do us good, how can we do otherwise than always rejoice? 
Our thankfulness is not based on external circumstances. It flows from our relationship with Jesus Christ. When we begin looking at life through the lens of salvation, we see God working through the hardship in this life to make us holy. That holiness grows in us, making us more like Jesus, focusing our hearts toward heaven, filling us with joy, and turning our frowns upside down.
 R. C. H. Lenski, The Interpretation of St. Paul’s Epistles to the Colossians, to the Thessalonians, to Timothy, to Titus and to Philemon (Columbus, OH: Lutheran Book Concern, 1937), 358.