There are so many unanswered questions about God. The super majority will remain unanswered because we are not meant to be able to understand, nor do we have the capacity understand the mysteries of God. For example, we cannot wrap our head around the fact that He always was, is, and will be. Everything that we can conceptualize has a beginning except God. He defies a large part of our logic. One such aspect that has been partially rationalized is how God is a Trinity: The Father, the Son, and the Holy Spirit.
In our human timeline according to the Bible, we knew God the Father first, then He sent His Son down to us. After Jesus’ death and resurrection, the Lord sent the Holy Spirit to be with us. Each of these three distinct entities are part of the same one true God. They are equal in nature. You can see from Genesis where God would speak using words such as “let Us make” or “Our.” Most people do not realize this but we can actually pray to each entity instead of just the Father. Personally, I do generally pray to the Father the most, but also pray to the other two as well. Concerning the Great Commission, Jesus did say to baptize the nation in the Father, Son, and Holy Spirit.
I just want to give some rare real world examples that are best for understanding this Trinity nature. First would be water at its triple point. Simultaneously, it is a gas, liquid, and solid. Three different entities of the same substance. Another example is time itself. Past, present, and future are distinctly different but of the same nature. There are 3 dimensions to this single being.
It may seem strange when you compare Jesus’ words and actions to this description. Jesus prayed to God the Father. This was a talking point by many deniers that Jesus was simply a prophet. He was talking to a distinct Personhood in the Father, as they did all throughout the Word. John even said, in the beginning was the Word, Jesus Christ (the Son), and the Word was with God, and the Word was God. So Jesus was not a prophet and he wasn’t praying to himself. I hope this gives you all a basic idea of how to rationalize such a difficult topic.
1 John 5:7-8 – For there are three that bear record in heaven, the Father, the Word, and the Holy Ghost: and these three are one.