It's a rich and comprehensive statement. Christ put Himself on the same level with the other two members of the Trinity. The mystery of the Trinity is one name with three Persons. Baptism represents one's coming into union with the Trinity through Jesus Christ. Now one becomes a disciple at the moment of salvation and that involves a full union with the Father, Son, and Holy Spirit, but that transforming reality is demonstrated by the beautiful ceremony of baptism.
Baptism is an important step of obedience.
Teaching them to observe all things whatsoever I have commanded you. One cannot be a disciple apart from a life of obedience and a desire to follow Him as Lord. Jesus said to the people gathered on the mountain that they were to teach everything He had commanded them. The Spirit has made that teaching available to every believer in the Word of God. Each believer is to submit himself to it in obedience.