In the Gospels, we discovered the Holy Spirit in the Trinity at the Baptism of Jesus. The Father declared from the clouds "This is my beloved Son" and the Holy Spirit hovered over Jesus like a dove. Here we had all three members of the Holy Trinity at once. Jesus was being baptized, the Father's voice announced who he was from Heaven and the Spirit descended upon Jesus like a dove.
Jesus later talked about his close relationship to both the Father and the Holy Spirit. He said after his resurrection in John 20.17, "'Do not hold on to me, for I have not yet ascended to the Father. Go instead to my brothers and tell them, I am ascending to my Father and your Father, to my God and your God." Note here how Jesus regarded his own relationship to his father in Heaven as different from his disciples relationship to their father. Jesus had earlier talked about the role of the Holy Spirit in John 15.26 "When the Advocate comes, whom I will send to you from the Father — the Spirit of truth who goes out from the Father — he will testify about me."✞
Even as Jesus ascended to heaven, he commissioned his disciples with the great words in Matthew 28.19-20a, "Therefore go and make disciples of all nations, baptizing them in the name of the Father and of the Son and of the Holy Spirit, and teaching them to obey everything I have commanded you." This was the key verse determining that baptism was to be performed not in Jesus' name alone but in the name of the three persons of the Trinity. The Holy Spirit in the Trinity was again found in the final instructions of Jesus to the Apostles. Later, Saint Paul blessed the Corinthian Christians with the threefold name of the Trinity in 2 Corinthians 13.14, "May the grace of our Lord Jesus Christ, and the love of God (the Father) and the fellowship of the Holy Spirit be with you all"✞