You are right in saying that the Lord Jesus taught us to pray to the Father. In John 15:16 Jesus said, “Whatever you ASK THE FATHER in My name He may give you.” In John 16:23 He repeats this: “Most assuredly, I say to you, whatever you ASK THE FATHER in My name He will give you.” The Apostle Paul furnishes us with a clear example of “praying to the Father” in Ephesians 3:14-15, “For this reason I bow my knees to the Father of our Lord Jesus Christ, from whom the whole family in heaven and earth is named.” If we read on in verses 16-19, we would see Paul putting 5 specific prayer requests before the Father. So, it is abundantly clear that we, as “children of God the Father,” should pray to our Father.

Regarding “praying to the Lord Jesus,” I believe we are taught to pray to Him also. Just before Stephen breathed his last breath we read, “And they stoned Stephen as he was calling on God and saying, ‘Lord Jesus, receive my spirit’’ (Acts 7:59). This was a direct prayer to the Lord Jesus and it surely reminds us of the prayer of the Lord Jesus to the Father just before He died, “And when Jesus had cried out with a loud voice, He said, ‘Father, into Your hands I commit My spirit.’ Having said this, He breathed His last” (Luke 23:46). We must never forget that Jesus is also God and thus when it says that “Stephen was calling on God”, followed by him addressing his prayer to the Lord Jesus, he was acknowledging that He too was God and could “receive his spirit” just as the Father had “received the spirit of the Man Christ Jesus” after He “bowed His head and gave up His Spirit” (John 19:30). I would also add that it is not wrong to “worship the Lord Jesus” just as we “worship the Father.” Jesus taught us this in John 5:23, “that all should HONOR the Son JUST AS THEY HONOR the Father. He who does not HONOR the Son does NOT HONOR the Father who sent Him.” The word “honor” implies “worship and reverence” and thus we learn here that the Father and the Son deserve EQUAL HONOR for they are both God. Before I mention “the Spirit” I would add two more references where we learn that we can address the Lord Jesus in prayer. In 2 Corinthians 12:7 Paul tells us of a “thorn in the flesh” that was given to him and then we read in verses 8-9, “Concerning this thing I PLEADED WITH THE LORD three times that it might depart from me. And He said to me, ‘My grace is sufficient for you, for My strength is made perfect in weakness.” Paul was speaking directly to the Lord Jesus and the Lord Jesus then spoke to him. At the very end of the Word of God we read, “He who testified to these things says, ‘Surely I am coming quickly.’ Amen. Even so, come, Lord Jesus!” (Revelation 22:20). The Lord Jesus spoke to the Apostle John of His coming and then John quickly responds back with those words that every believer in Christ loves, “Even so, come, Lord Jesus.” Who of us has never said those words to our blessed Lord and Savior! We long to see Him come to take us home (see John 14:2-3) and it is fitting indeed to address our Lord Jesus in prayer with these same words!

As for “praying to the Holy Spirit,” it would indeed be wrong to do so. Why? Because the Holy Spirit has come to indwell believers to teach us the Word of God (John 14:25-26; 16:13), to empower us for witnessing for Christ (Acts 1:8); and to lead us in worshiping the Father and the Son (Philippians 3:3), but He is not asking us to pray to Him or to worship Him. He also “leads us in our prayers to the Father and the Son” (Jude 20). So, we can “pray IN the Spirit,” but we are never told to “pray TO the Spirit.”  (DO)  (624.1)