I’m sure every one of us would love to know all about those 'hidden years' between the Presentation of the baby Jesus in the Temple, and his Baptism in the Jordan. Except for a scene when he was twelve and his parents thought he was "lost," we know nothing about those early years of his private life. Surely this is for a good reason. If the Holy Spirit had wanted us to focus on those years, then the evangelists would have been inspired to record those events in divine salvation history (i.e., the Bible). As it is, however, after the nativity events the Holy Spirit wants us to focus on the public life of Jesus, on his Mission, which begins with his baptism in the Jordan River and ends with the great Holy Week events and the subsequent Ascension.
That first event, his baptism, is important for two reasons. It shows how humble Jesus was in fully accepting his human condition. He was totally obedient to God's will, and his heavenly Father upheld him in his obedience while he was at prayer. This support also clarifies for the world his divine sonship - the first public proclamation of the fact that he was the Messiah. It was an important proclamation, because it meant the period of waiting was over; The Messiah was now present among the people.
Jesus' baptism was his full acceptance of his mission. Today we’re reminded that our "mission" also starts at our baptism, the sacrament of faith, when we became adopted ("reborn as") sons and daughters of God. Our mission is to follow Jesus and imitate him, spreading the Good News of his salving love and "becoming Christ" for others. May we all realise that our heavenly Father is also "well pleased" with us when He finds us at regular prayer- just like His son.
Read Catechism of the Catholic Church (CCC) items: #536, #1236 #1213 and #899