Matthew 3: John the Baptist, the last Old Testament prophet, declares the coming Messiah.

After more that 400 years without a national prophet, John the Baptist emerges, sharing the news that the prophet after him will be the promised Messiah.
Israel, now under Roman rule, is eager to finally hear from God, and they head out to the Jordan river by the thousands to hear John preach.
His message is one of personal repentance and preparation for the coming "Kingdom of Heaven", a reference to the promised "Day of the Lord" when Israel will be restored and a new king from David's line will rule the world from Jerusalem.
In the midst of this busy ministry, John's cousin, Jesus, appears--asking to be baptized. John has already declared that Jesus is the "Lamb of God Who takes away the sins of the world", and is offended and confused that he should baptize Jesus.
Jesus insists, as He is preparing to undertake His public ministry, that of identifying with sinners. Baptism is the first step--at which time both the Father and the Spirit declare their approval.
This is the public event where the office of national prophet changes from John to Jesus.