Orson F. Whitney on why the Savior said “My sheep know my voice”:
“…After meeting someone whom I had never met before on earth, I have wondered why that person’s face seemed so familiar. More than once, upon hearing a noble sentiment expressed, though unable to recall that I had ever heard it until then, I have found myself in sympathy with it, was thrilled by it, and felt as if I had always known it. The same is true of some strains of music [some perhaps heard today]; they are like echoes of eternity. I do not assert pre-acquaintance in all such cases, but as one thought suggests another these queries arise in the mind.
When it comes to the Gospel, I feel more positive. Why did the Savior say: “My sheep know my voice?” Did a sheep ever know the voice of its shepherd if it had never heard that voice before? They who love the Truth, and to whom it most strongly appeals—were they not acquainted with it in a previous life? I think so. I believe we knew the Gospel before we came here, and that is what gives to it a familiar sound.”
[Orson F. Whitney, “The Undiscovered Country,” Improvement Era, vol. 23 (December 1919), p. 100]