After he had fed the people, Jesus made the disciples get into the boat and precede him to the other side of the sea, while he dismissed the crowds.
After doing so, he went up on the mountain by himself to pray. When it was evening he was there alone.
Meanwhile the boat, already a few miles offshore, was being tossed about by the waves, for the wind was against it.
During the fourth watch of the night, he came toward them, walking on the sea.
When the disciples saw him walking on the sea they were terrified. "It is a ghost," they said, and they cried out in fear.
At once (Jesus) spoke to them, "Take courage, it is I; do not be afraid."
Peter said to him in reply, "Lord, if it is you, command me to come to you on the water."
He said, "Come." Peter got out of the boat and began to walk on the water toward Jesus.
But when he saw how (strong) the wind was he became frightened; and, beginning to sink, he cried out, "Lord, save me!"
Immediately Jesus stretched out his hand and caught him, and said to him, "O you of little faith, why did you doubt?"
After they got into the boat, the wind died down.
Those who were in the boat did him homage, saying, "Truly, you are the Son of God."

Gospel commentary

Saint John Chrysostom (c.345-407), priest at Antioch then Bishop of Constantinople, Doctor of the Church
Homilies on Saint Matthew's gospel, no. 50, 1-2

Once again the disciples are a plaything of the waves and a storm, similar to the first one (Mt 8:4), hurls itself against them. The first time, however, they had Jesus with them, whereas this time they are alone and left to themselves. (...) I think this was because our Savior wanted to stir their sleeping hearts and, by throwing them into a panic, he inspired in them a strong desire for his presence and kept the remembrance of him constantly in their mind. Hence he did not come to their help at once but “during the fourth watch of the night he came towards them, walking on the sea”. (...)

Peter, ever ebullient, always getting in before the other disciples, said: “Lord, if it is you, command me to come to you on the water” (...) He didn't say, “Command me to walk on the water” but “come to you”, for there was none who loved Jesus so much as he. He did the same thing after the resurrection: unable to bear moving as slowly as the others in the boat, he jumped into the water to get there before them and satisfy his love for Christ. (...) Getting out of the boat, then, Peter went towards Jesus, more delighted to be going towards him than to be walking on the water. But after confronting the greatest danger, that of the sea, he was to give in to a lesser, that of the wind. Such is human nature! Often, having overcome serious dangers we are conquered by lesser ones (...) Peter had not yet been set free from all his fear (...) in spite of Christ's presence beside him. For it is of no use to be beside Christ if one is not close to him by faith. This is what emphasizes the distance separating master from the disciple (...)

“O man of little faith, why did you doubt?” So if Peter's faith had not faltered he would have resisted the wind without difficulty. And the proof of this is that Jesus grasped Peter while leaving the wind to continue blowing (...) Just as the mother bird supports with her wings, as it is about to fall, the fledgling that has prematurely left the nest and draws it back into the nest, so does Christ with regard to Peter.