Jesus Himself tells us that His Baptism was necessary to fulfill all justice. Clearly the purpose of His Baptism was that He has an obligation to do first what will be required of others. As St. Ambrose said, that we should not refuse the grace delivered by Baptism as Jesus did not refuse penance of mankind.
Surely our sins are forgiven by Baptism but this is the beginning of our sanctification preparing the flesh and the spirit to receive the ongoing grace of our Lord. The flesh remains after Baptism to be vulnerable to the seduction and temptation of the flesh. We are instead prepared and strengthened with the assurance of grace to withstand the enemies of God who try to separate us from the familial relationship we have entered with Christ and His Church. We continue in grace to fight for our faith as we approach our salvation with fear and trembling.
When Jesus was Baptized a miracle occurred that blessed all of humanity. The heavens were opened and joined with the earth in preparation for the Church being one militant, suffering and triumphant. under the one shepherd Jesus. According to St. John Chrysostom, we of His Church are exalted into the company of the angels.
At the Baptism of Jesus we see the Holy Spirit descending as a dove for He could not be seen by men in His glorious divinity. The dove expressed the simplicity of character given at Baptism (Mat 10:16-23). This was , of course prefigured by the olive branch carried back to the Ark by the dove which was a figure of the Church which like the Ark protects mankind from the deluge of sin from the world.
Why was Jesus an adult when He was Baptized and then the Church teaches Baptism to be done as soon as possible one might ask.....Jesus was brought into the family of man as one who was not stained by sin in any way due to God's preparation for His birth with the miraculous conception keeping Him from even having contact with the original sin of man. Because of this there was no urgency or danger necessitating Jesus to be baptized sooner. However, humanity which is born in corruption will be judged when we pass out of this world and without the garment of incorruption given by Baptism, the Bible tells us that our salvation is in great doubt.