Jesus points us to the Father
When Jesus taught his disciples how to pray, he began by directing them to “our Father”. In the upper room, he also told the disciples that they would ask the Father in his name. That gives Christians a clear and steady starting point: bring your needs, thanks, fears, and praise to the Father.
This isn't because the Father is kinder than Jesus or more willing to listen. The Father sent the Son in love, and the Son brings us near to the Father. Prayer is not about finding the right member of the Trinity to persuade. It is coming to the one God who welcomes his children.
After this manner therefore pray ye: Our Father which art in heaven, Hallowed be thy name.
We come through the Son
Jesus is not a distant go-between. He is the risen Lord and the high priest who understands human weakness. Because of what he has done, believers can approach God with confidence and seek mercy when they need it most, as Hebrews 4:14-16 teaches.
To pray in Jesus' name means more than adding a phrase at the end. It means coming on the basis of who he is and what he has done, trusting his welcome rather than our own goodness. Ephesians 2:18 describes this shared work beautifully: through Christ, we have access to the Father by one Spirit.
And in that day ye shall ask me nothing. Verily, verily, I say unto you, Whatsoever ye shall ask the Father in my name, he will give it you.
Can we pray directly to Jesus?
Yes. The New Testament gives clear examples. As Stephen was being killed, he called on the Lord Jesus to receive his spirit. The final prayer of Revelation asks the Lord Jesus to come. These are not detours from Christian prayer, because Jesus shares the divine honour and authority of the Father.
So you can speak directly to Jesus in worship, confession, need, or gratitude. Many Christians naturally do this when reading the Gospels or remembering Christ's death and resurrection. Still, the ordinary pattern Jesus gave remains prayer to the Father through the Son.
And they stoned Stephen, calling upon God, and saying, Lord Jesus, receive my spirit.
What about the Holy Spirit?
The Holy Spirit is fully God, not an impersonal force. Peter's words to Ananias connect lying to the Holy Ghost with lying to God in Acts 5:3-4. Yet the New Testament more often shows the Spirit helping believers pray than records prayers addressed directly to him.
Romans 8:26 says the Spirit helps in our weakness when we do not know what to pray for. So it is good to ask the Spirit to guide, strengthen, and fill you as you pray. Christians differ a little in how often they address the Spirit directly, but there is no need for anxiety. Pray honestly to the Father, trust the Son, and welcome the Spirit's help.
Likewise the Spirit also helpeth our infirmities: for we know not what we should pray for as we ought: but the Spirit itself maketh intercession for us with groanings which cannot be uttered.