This is a particularly interesting question to me, because a possible answer occured to me when my bible study class was recently studying the Gospel of Mark. There is a rather “harsh” section in Mark 7:24-30. Here it is:
From that place he went off to the district of Tyre. He entered a house and wanted no one to know about it, but he could not escape notice. Soon a woman whose daughter had an unclean spirit heard about him. She came and fell at his feet. The woman was a Greek, a Syrophoenician by birth, and she begged him to drive the demon out of her daughter.
He said to her, “Let the children be fed first. For it is not right to take the food of the children and throw it to the dogs.”
She replied and said to him, “Lord, even the dogs under the table eat the children’s scraps.”
Then he said to her, “For saying this, you may go. The demon has gone out of your daughter.”
When the woman went home, she found the child lying in bed and the demon gone.At first reading, it just seems like a very un-Jesus thing to say. The children, of course, are the Jews, and gentiles are the dogs. It seems insulting and appears to denigrate gentiles. But the thing is, that section occurs shortly after the miracle of the loaves and fishes happens for a Jewish audience, and immediately after this section, the miracle of loaves and fishes is repeated for a gentile audience. Throughout this gospel, Jesus does preach to and heal gentiles, so it seems out of character for him to suddenly say “Jews only”. What occurred to me was that his statements were really meant to address questions like yours.
Particularly in the early church, facing rejection from Jews, and finding most of their converts from gentiles, it would be natural to ask why God bothered starting the covenant with the Jews.
It may not be an intellectually satisfying answer, but if nothing else, this passage has Jesus saying that that’s the way God decided to lay out the salvation history.