The first indication of praying to God is in Genesis 4:26 and is ascribed to the family of Seth. Prayer is often implied in Genesis, but much of the teaching of prayer is found in the New Testament.
Jesus needed to pray. He taught His disciples how to pray (Luke 11:1-4). He headed for the mountains to pray and prayed on His final night on this earth in the Garden of Gethsemane.
Disciples in Acts were devoted to prayer and sometimes were surprised when prayers were answered (Acts 12:5 cf. v. 14-15). Paul asked for prayers that he may be bold in preaching the gospel (Ephesians 6:18-19).
God answers prayers. He delivered the Israelites from Egyptian slavery (Exodus 2:24-25). He delivered them from their oppressors (Judges 3:9, 15; 4;3; 6:7-8; 10:15-16). He does the same for us (Matthew 7:7-11).
So pray. Without ceasing (1 Thessalonians 5:17).