According to Matthew 3:13-17 (and parallel accounts in Mark 1:9-11 and Luke 3:21-22), Jesus was baptised by John the Baptist in the River Jordan. The Gospel of Matthew specifies that Jesus came from Galilee to the Jordan to be baptised by John. After the baptism, as Jesus came up out of the water, the heavens opened, the Spirit of God descended on Him like a dove, and a voice from heaven said, "This is my Son, whom I love; with him I am well pleased."
The River Jordan is the most significant river in biblical geography. It flows from the Sea of Galilee in the north to the Dead Sea in the south, running through the Jordan Rift Valley. It was also the river the Israelites crossed under Joshua to enter the Promised Land (Joshua 3), and the river where Naaman the Syrian was healed of leprosy by washing seven times (2 Kings 5). John the Baptist conducted his ministry of baptism along the Jordan, particularly near Bethany beyond the Jordan (John 1:28).
The Euphrates and Tigris are major rivers in Mesopotamia (modern Iraq), associated with the Garden of Eden and ancient civilisations. The Nile is the great river of Egypt. None of these rivers is connected to the baptism of Jesus.