“After all the people had been baptized and Jesus also had been baptized and was praying, heaven was opened and the holy Spirit descended upon him in bodily form like a dove.  And a voice came from heaven, “You are my beloved Son; with you I am well pleased.”
Luke 3:21-22

Every year on the first Sunday after January 6 (the traditional date for Epiphany) the Church celebrates the Baptism of the Lord.

It may seem odd that Jesus was Baptized.   We know the Church teaches that Baptism is necessary for salvation,  but Christ certainly did not have any sins to wash away nor did He need the graces to live a holy life that we received at our Baptisms!    Perhaps one of the keys to why lies in remembering Christ’s mission as our teacher – He came to establish the sacrament and to show us the way to heaven.  His life is our example!

Of course, this is a only one facet of a great mystery.  To learn more, you’ll want to start with the Catechism of the Catholic Church’s section on Baptism, beginning with paragraph 1213.