One of the lessons we learn in the baptism of Jesus is the Father’s love for the Son. The Father isn’t ashamed to identify with Jesus at His baptism. He does three things to show His willingness to identify with Jesus.
The Father Opens the Heavens
Matthew 3:16—And when Jesus was baptized, immediately He went up from the water, and behold, the heavens were opened to Him.
In a few places the Bible speaks about the heavens being ripped open. Ezekiel’s vision in Ezekiel 1:1. John’s vision in in Acts 7:56. Peter’s vision in Acts 10:11. John’s vision in Revelation 19:11. Every time, the sign in the heavens is pointing to something massively significant that’s happening.
In Matthew 3:16, I believe the Apostle has the words of Isaiah in mind. 700 years earlier, the prophet wrote, “Oh that you would rend the heavens and come down, that the mountains might quake at your presence” (Isaiah 64:1). As the heavens are ripped open, God is saying, “I’m here! The heavens are opened and I’m here!”
The Father Sends the Spirit
Matthew 3:16—and He saw the Spirit of God descending like a dove and coming to rest on Him
Once again, Matthew is drawing our attention to the OT prophets, specifically Isaiah:
Isaiah 11:2—“And the Spirit of the Lord shall rest upon Him, the Spirit of wisdom and understanding, the Spirit of counsel and might, the Spirit of knowledge and the fear of the Lord.”
Isaiah 61:1—“The Spirit of the Lord God is upon Me, because the Lord has anointed Me to bring good news to the poor; He has sent Me to bind up the brokenhearted, to proclaim liberty to the captives, and the opening of the prison to those who are bound.”
Once again, Matthew is saying, “The Messiah is here!”
Lest we be confused, we need to understand that the Spirit isn’t getting acquainted with Jesus for the first time. Jesus has lived His life so far obeying the Father in the power of the Spirit. But now the Spirit descends on Jesus in a special way to give Him power for the mission that lies ahead. John Calvin explains, “Now that the full time is come, for preparing to discharge the office of Redeemer, he is clothed with a new power of the Spirit, and that not so much for his own sake, as for the sake of others.” 
By the power of the Spirit, Jesus will:
The Father Speaks
Matthew 3:17—and behold, a voice from heaven said, “This is My beloved Son, with whom I am well pleased.”
The voice of the Father speaks three things about Jesus. First, He says "You are mine.” “This is My... Son.” Matthew is clearly alluding to Psalm 2:7 which says, “I will tell of the decree: The Lord said to me, “You are my Son; today I have begotten you.” Interestingly, in the very first temptation Satan will tempt Jesus to deny this truth: “if you are the Son of God (Matthew 4:3).”
Second, the Father says "You are loved.” “This is My beloved Son.” This is a clear echo of Genesis 22:2, where God tells Abraham to take his son, his beloved son and sacrifice him on a mountain. Abraham’s beloved son wouldn’t have to die on that mountain. A ram would die in his place. But another Beloved Son would climb another mountain and He would die in the place of His sinful people.
Finally, the Father says, “I am pleased.” “This is My beloved Son, with whom I am well pleased.” These are the most precious words a son can ever hear from his dad: “I’m proud of you, son.” That’s what Jesus hears at His baptism. Again, Matthew is alluding to the prophets. Isaiah 42:1 says, “Behold My servant, whom I uphold, My chosen, in whom My soul delights; I have put My Spirit upon Him; He will bring forth justice to the nations.”
The amazing reality is that Jesus hears all this as He begins to identify with sinners. It’s easy to identify with the Buckeyes when they play like a top-ten team. But when they play so poorly it looks like they could lose to Liberty, it’s a bit harder.
The Father doesn’t first speak these words when Jesus turns walks on water or heals the sick or raises the dead. He speaks as Jesus is identifying with sinners. Three years later, Jesus’ identification with sinners will reach its peak. Our sins will be poured out on Jesus on the cross. In that moment the heavens won’t open up. The sky will turn black. The Father won’t speak His pleasure over the Son. He’ll be punishing Him in our place.
But make no mistake, the Father loves His Son. This is their plan. John 3:16 says, “For God so loved the world, that He gave His only Son, that whoever believes in Him should not perish but have eternal life.”
 Calvin, J., & Pringle, W. (2010). Commentary on a Harmony of the Evangelists Matthew, Mark, and Luke (Vol. 1, p. 204). Bellingham, WA: Logos Bible Software.