What was the first lesson taught by Jesus when He began His ministry?

According to the gospel of Matthew Jesus set the example of the necessity of water baptisms.

Jesus came to John to be baptized but John felt that he was not worthy to perform such a special task on the One who was mightier than himself whose shoes he was not worthy to fill.

Jesus, he claimed, would baptize with Holy Ghost and fire. But, Jesus gently reminded John that His baptism must be done to fulfill all righteousness.

But Jesus answered and said to him, “Permit it to be so now, for thus it is fitting for us to fulfill all righteousness.” Then he allowed Him. (Matthew 3:15)

It was at Jesus’ baptism that the seventy weeks prophecy in Daniel 9:24 was fulfilled.

Seventy weeks are determined upon thy people and upon thy holy city, to finish the transgression, and to make an end of sins, and to make reconciliation for iniquity, and to bring in everlasting righteousness, and to seal up the vision and prophecy, and to anoint the most Holy. (Daniel 9:24)

Immediately after Jesus was baptized, the heavens opened and the Holy Spirit of God descended upon Him like a dove.

Jesus was anointed and confirmed to be the Son of the holiest God by the Father Himself.

The righteousness of man is as filthy rags but all of us can be made righteous through the Lord Jesus Christ to everyone who believes in Him by faith. (See Romans 3:22; Genesis 15:6)

When He had been baptized, Jesus came up immediately from the water; and behold, the heavens were opened to Him, and He saw the Spirit of God descending like a dove and alighting upon Him. And suddenly a voice came from heaven, saying, “This is My beloved Son, in whom I am well pleased.” (Matt. 3:16-17; Mark 1:10; [Is. 11:2]; Luke 3:22; John 1:32; Acts 7:56.)

The curse of sin upon the earth was lifted at the cross of calvary.

Jesus paid the death penalty of sin and thus fulfill all righteousness.