'Last Sermon of Jesus'
John 16:7 "Nevertheless I tell you the truth. It is to your advantage that I go away; for if I do not go away, the Helper will not come to you; but if I depart, I will send Him to you."
The above prophecy was fulfilled after the death of our Lord Jesus. At Pentecost, our Lord sent the Helper the Holy Spirit intially to fill His disciples and they displayed the gifts of the Holy Spirit of speaking in tongues.
Act 2:1, 5 When the Day of Pentecost had fully come, they were all with one accord in one place. And there were dwelling in Jerusalem Jews, devout men, from every nation under heaven.
Devout Jews were followers of Judaism and they knew, understood and kept the Mosiac Law and the Prophets.
At the crucifixion of their Messiah, Judaism (Mosiac law and the Prophets) was obsolete and Jews were no longer the people of God. Just like the Gentiles, all Jews too need to believe the gospel of Jesus to be saved.
Peter Anointed Message
Act 2:14] But Peter, standing up with the eleven, raised his voice and said to them, "Men of Judea and all who dwell in Jerusalem, let this be known to you, and heed my words.
 "Men of Israel, hear these words: Jesus of Nazareth, a Man attested by God to you by miracles, wonders, and signs which God did through Him in your midst, as you yourselves also know—"
 "Him, being delivered by the determined purpose and foreknowledge of God, you have taken by lawless hands, have crucified, and put to death;"
 "whom God raised up, having loosed the pains of death,* because it was not possible that He should be held by it.
 "Therefore, being a prophet, and knowing that God had sworn with an oath to him that of the fruit of his body, according to the flesh, He would raise up the Christ to sit on his throne,
 "Therefore let all the house of Israel know assuredly that God has made this Jesus, whom you crucified, both Lord and Christ."
Conviction of Devout Jews
Act 2:37 Now when they heard this, they were cut to the heart, and said to Peter and the rest of the apostles, "Men and brethren, what shall we do?"
These devout Jews (no longer the people of God were considered as the world) were convicted (cut to the heart) of sin, of righteousness and of judgment.
John 16:8 "And when He (Holy Spirit) has come, He will convict the world of sin, and of righteousness, and of judgment:
Salvation of Devout Jews
Acts 2:38-39 Then Peter said to them, "Repent, and let every one of you be baptized in the name of Jesus Christ for the remission of sins; and you shall receive the gift of the Holy Spirit. For the promise is to you and to your children, and to all who are afar off, as many as the Lord our God will call."
This promise of God concerning the gift of the Holy Spirit was not only to those devout Jews who believed the gospel of Jesus but also to every believer.
We thank God that He has given to every born again the Helper - the Holy Spirit to make the burden of carrying our cross (His yoke) light and easy, by convicting us of sin, righteousness and judgment.
John 16:9 "of sin, because they do not believe in Me;"
Because of our lack of love for Him, unbelief leads us to sin. Thank God that before we commit the sin, He will convict us. If we have already sin, He will convict us to repent by confessing our sin.
Thank God that we do not have to be burdened with the problem of sin and similarly with righteousness and also judgement.