What moral lesson we can get from the story of Orpheus?

The moral lesson from the story of Orpheus is that trust, both in the gods and in love, is necessary. Other lessons are to pay attention and to let your head rule your heart. When Orpheus impulsively looks back at Eurydice on their way out of the Underworld, he breaks the one condition Hades gave in allowing Orpheus to retrieve her from death and loses her forever.

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One could argue that the overriding moral lesson one learns from the story of Orpheus and Eurydice is that there is a moral law higher than ourselves. One doesn't have to believe in the gods of Mount Olympus to accept this; to some extent, all forms of morality entail subjecting ourselves to a set of rules that we must follow for the good of ourselves and others.

In the ancient Greek myth, the relevant moral rules don't demand all that much of Orpheus. All he has to do is emerge from the Underworld with his beloved Eurydice without turning around to look at her before they reach the light.

But because Orpheus can't hear Eurydice's footsteps behind him, he assumes he's being tricked by Hades, the god of the Underworld. Unable to trust Hades, and by extension submit himself to a morality higher than himself, Orpheus makes the catastrophic mistake of turning around to see if Eurydice has followed him. When he does so, she vanishes into thin air, and her shade returns to the Underworld, where it will remain for all eternity.

In looking back to see Eurydice, Orpheus was effectively disrespecting the gods, showing that he didn't trust them. More significantly, perhaps, he was showing his impatience with the necessity to submit himself to a moral code to which continued obedience was ultimately for his own good.

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There are several stories about the Thracian musician Orpheus who sailed with the Argonauts and eventually met a terrible at the hands of the Maenads, the female followers of the god Dionysus. The most famous of these stories, told by Ovid in the Metamorphoses, concerns Orpheus's wife, Eurydice, who had died when she fell into a nest of vipers. Orpheus sings such sad songs for the death of his wife that Hades, lord of the Underworld, permits him to take her back to earth. The only condition is that Orpheus must walk ahead of Eurydice and not look back at her until they have reached the surface of the earth.

Nearing the surface, Orpheus looks back to check on Eurydice, meaning that she has to stay behind in the underworld. One moral lesson taught by this story, therefore, is to pay attention. If Orpheus had been concentrating on his task and had followed Hades' instructions to the letter, he would have been able to bring Eurydice safely back to earth. Another related lesson is to let your head rule your heart, rather than the other way around. Orpheus acted emotionally and impulsively in turning round to look at Eurydice. If he had controlled this impulse for just a few more moments, all would have been well.

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As the other answers have stated, the moral of this story is the importance of trust.

Orpheus is tested in this story. He has every reason not to trust because he lost his wife, Eurydice, to a snake bite on their wedding night. That would shake anyone's faith in love, in fate, or in the gods.

Orpheus has the talent with music to charm his way into the underworld, but that is not enough. He has to show he has the fortitude not once to glance back and see if his beloved Eurydice is truly behind him. He holds strong until the very end, when he takes one quick glimpse back to make sure she is behind him as he steps out of Hades. That moment when his trust wavers is his undoing.

To have love, we must have trust. Trust is not easy, but it is necessary to a loving relationship. None of us are going to ever be in Orpheus's shoes in terms of a trip to a literal underworld, but most of us will have to face a moment of "hell" where our love is tested and where only trust will enable it to survive.

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That is indeed a fascinating question. We should start by acknowledging the complexity of Greek mythology. Often these stories don't have a clear moral like other well-known stories, like Aesop's fables.

Turning to Orpheus, and looking at moral lessons specifically, one complex lesson comes from interacting with the gods. Eurydice died because she objected to divine desire (specifically the lust of Aristaeus).  Can we conclude that desire is dangerous? We can definitely conclude that crossing the gods is dangerous. This can be made into a moral lesson when you go further into the story. Orpheus was allowed to descend into the underworld to retrieve his wife with a single condition: he could not look back to see if she was following. In a way, both of the spouses did the same thing: crossed the gods.

Again, Orpheus was not allowed to look back. This means he had to trust. Trust, in the gods and in love, was the rule he had to follow. He crossed the gods and doubted his true love when he looked back. A moral lesson, then, is that trust is essential when dealing with love.

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The story of Orpheus is an amazing one, and Ovid, the Roman poet, has made this story enduring for us. 

As for a moral lessons, there are two, in the least. I am sure that others will have their own opinions. 

First, one point that comes out clearly is the power of love. When Eurydice dies, Orpheus mourns for her. His true love is now gone, but the power of death was not as strong as his love. He bends the will of Hades, and he goes down into the underworld to get her. Hence, one theme is the power of love; love is stronger than death itself.

Second, never turn back but trust. Had Orpheus not turned back to see if Eurydice was behind him, they would have both made it out of the underworld together. But because Orpheus did not believe and turned back, he lost her a second time. Hence, another moral is press on and don't look back. Finish your mission not matter way. 

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