In the following Scriptures, Jesus speaks of the separation of persons of the Trinity:
John 5:30 through 32 KJV
30 I can of mine own self do nothing: as I hear, I judge: and my judgment is just; because I seek not mine own will, but the will of the Father which hath sent me.
31 If I bear witness of myself, my witness is not true.
32 There is another that beareth witness of me; and I know that the witness which he witnesseth of me is true.
John 17:21 KJV
That they all may be one; as thou, Father, art in me, and I in thee, that they also may be one in us: that the world may believe that thou hast sent me.
There are a total of 15 places where Jesus spoke of the separation of the Father and the Son, and in the following Scripture Jesus is promising to send an entirely different Deity than those two:
John 14:16 KJV
And I will pray the Father, and he shall give you another Comforter, that he may abide with you for ever;
and in the following Scripture he identifies that Deity as the Holy Spirit:
John 14:26 KJV
But the Comforter, which is the Holy Ghost, whom the Father will send in my name, he shall teach you all things, and bring all things to your remembrance, whatsoever I have said unto you.
This event prophesied by Jesus took place at Pentecost:
Acts 2:1 through 4 KJV
1 And when the day of Pentecost was fully come, they were all with one accord in one place.
2 And suddenly there came a sound from heaven as of a rushing mighty wind, and it filled all the house where they were sitting.
3 And there appeared unto them cloven tongues like as of fire, and it sat upon each of them.
4 And they were all filled with the Holy Ghost, and began to speak with other tongues, as the Spirit gave them utterance.