I think I thought I saw you try Yes, it is grammatical but somewhat cryptic. Here's my interpretation: At the moment of speaking (now), the speaker is not sure whether he thought that (in the past). Song lyrics are like poetry.
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Tomáš MolcanYe the whole line is kind of weird because even "I think I saw you try" isn't a phrase that used a lot, is it?Probably not used "a lot", no, but there is nothing wrong with it.