And you shall take you on the first day the fruit of the goodly tree [in Hebrew, "pri etz hadar"].(Lev. 23:40)
In the mystic teachings of the Kabbala, "the fruit of the goodly tree [in Hebrew, 'pri etz hadar']" is the fruit in which there is a great deal of desire. This is the fruit with which Adam sinned, as it is said, "And when the woman saw that the tree was good for food, and that it was a delight to the eyes, and that the tree was to be desired to make one wise, she took of the fruit thereof, and did eat." (Gen. 2:6) ...we obtain His favor by taking the etrog together with the other species… Thus, the sin consisted of taking the etrog ("the fruit of the goodly tree" mentioned above) alone, and we obtain His favor by taking the etrog together with the other species...
From here you can understand that the etrog is not bound up with the other three species, and yet it invalidates [the performance of the commandment] if it is not taken together with them. It is comparable to Atzeret (the eighth day of Sukkot), which is a festival of its own, and yet is supplementary to the first days. They are one in potentiality but not in actuality.
[Adapted from Rabbi Dr. Charles Chavel's annotated translation.]
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