Correct!

"Go therefore and make disciples of all the nations, baptizing them in the name of the Father and the Son and the Holy Spirit, teaching them to observe all that I commanded you; and lo, I am with you always, even to the end of the age." Matthew 28:19-20 (NAS)    

You also see reference to the Father, Son and Holy Spirit when Jesus was baptized...the Father (a voice from heaven -- Jesus' Father), the Son (being immersed in the water by John), and the Holy Spirit (descending in the form of a dove):

"But Jesus answering said to him, "Permit it at this time; for in this way it is fitting for us to fulfill all righteousness." Then he permitted Him. And after being baptized, Jesus went up immediately from the water; and behold, the heavens were opened, and he saw the Spirit of God descending as a dove, and coming upon Him, and behold, a voice out of the heavens, saying, "This is My beloved Son, in whom I am well-pleased." Matthew 3:15-17 (NAS)

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