The Holy Spirit was not yet, because Jesus was not yet glorified. John 7:39.

and after His glorification:

He breathed on His disciples and said, Receive the Holy Spirit. John 20:22.

The reason why the Lord breathed on the disciples and said this was that breathing on was the external sign standing for inspiration by God; and inspiration means being brought into contact with communities of angels. This will allow the understanding to grasp what the angel Gabriel said about the Lord's conception:

The Holy Spirit will come upon you, and the power of the Most High will overshadow you; so that the holy thing that is born of you will be called the Son of God. Luke 1:35.

Also:

The angel of the Lord said to Joseph in a dream, Do not be afraid to take Mary as your betrothed, for what is conceived in her is of the Holy Spirit; and Joseph did not touch her until she had given birth to her first-born son. Matt. 1:20, 25.

The Holy Spirit stands there for the Divine truth proceeding from Jehovah the Father; it was this that came forth which was 'the power of the Most High' which overshadowed His mother. So this statement tallies with what John says:

The Word was with God, and the Word was God; and the Word was made flesh. John 1:1, 14.

For a demonstration that the Word there means the Divine truth see the Faith of the New Church (3 above).