Matthew Henry on Luke 3:21-22

Christ did not confess sin, as others did, for he had none to confess; but he prayed, as others did, and kept up communion with his Father. Observe, all the three voices from heaven, by which the Father bare witness to the Son, were pronounced while he was praying, or soon after, Lu 9:35; Joh 12:28. The Holy Ghost descended in a bodily shape like a dove upon him, and there came a voice from heaven, from God the Father, from the excellent glory. Thus was a proof of the Holy Trinity, of the Three Persons in the Godhead, given at the baptism of Christ.