The Trinity is certainly a difficult concept for anyone to understand. It is a mystery how God can be one God in three persons, so the best we can do is accept what the Bible says about God's nature, even if we don't fully comprehend.
To which person of the Trinity should we pray? Certainly, there is no question that we can pray to God the Father. The Old and New Testaments are filled with examples of prayer to the Father, and Jesus Himself taught us to pray to the Father in Matthew 6:9-13.
There is also no question that we can pray to Jesus. As an example, in Acts 7:59, Stephen prays "Lord Jesus, receive my spirit." Jesus told us that we would be able to pray to Him after he had gone to the Father. He said, "...I am going to the Father. And I will do whatever you ask in my name, so that the Son may bring glory to the Father. You may ask me for anything in my name, and I will do it." (John 14:12-14)
The issue with the Holy Spirit is more complicated. There are no examples of anyone praying to the Holy Spirit in the scripture, nor is there any guidance that we should or should not do so. As a person of the Trinity and one who is fully God, there is no obvious reason why we should not pray to the Holy Spirit if we are led to do so. For me personally, I pray to the Holy Spirit whenever I feel stress or unease and I am seeking peace and comfort. I am not sure why I do this, but it seems appropriate.
Having said that, the Holy Spirit does play a special role in interceding for us when we are praying to the Father or to the Son. Many times in the New Testament we are told to pray "in the Spirit." In Ephesians 6:18, Paul tells us "...pray in the Spirit on all occasions with all kinds of prayers and requests", while Jude recommends, "...build yourselves up in your most holy faith and pray in the Holy Spirit." (Jude 1:20).
Paul gives us some clarification about the role of the Holy Spirit in Romans 8:26. Paul writes, "In the same way, the Spirit helps us in our weakness. We do not know what we ought to pray for, but the Spirit himself intercedes for us with groans that words cannot express."
So, although it is perfectly acceptable to pray to the Holy Spirit, scripture suggests that we pray "in the Spirit", which means we permit the Holy Spirt to guide our prayer and give us the right words to say.
There is no right or wrong. You may address your prayer to the Son, the Father or the Holy Spirit with confidence depending on how you feel led at that moment.
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