We're not surprised:
"Then Philip said, “If you believe with all your heart, you may.” And he [the Ethiopian eunuch] answered and said, “I believe that Jesus Christ is the Son of God.” So he commanded the chariot to stand still. And both Philip and the eunuch went down into the water, and he baptized him."
Acts 8:37-38
For those who don’t know the full context:
Philip and the Ethiopian
26 Now an angel of the Lord said to Philip, “Go south to the road—the desert road—that goes down from Jerusalem to Gaza.” 27 So he started out, and on his way he met an Ethiopian[a] eunuch, an important official in charge of all the treasury of the Kandake (which means “queen of the Ethiopians”). This man had gone to Jerusalem to worship, 28 and on his way home was sitting in his chariot reading the Book of Isaiah the prophet. 29 The Spirit told Philip, “Go to that chariot and stay near it.”
30 Then Philip ran up to the chariot and heard the man reading Isaiah the prophet. “Do you understand what you are reading?” Philip asked.
31 “How can I,” he said, “unless someone explains it to me?” So he invited Philip to come up and sit with him.
32 This is the passage of Scripture the eunuch was reading:
“He was led like a sheep to the slaughter,
and as a lamb before its shearer is silent,
so he did not open his mouth.
33
In his humiliation he was deprived of justice.
Who can speak of his descendants?
For his life was taken from the earth.”[b]
34 The eunuch asked Philip, “Tell me, please, who is the prophet talking about, himself or someone else?” 35 Then Philip began with that very passage of Scripture and told him the good news about Jesus.
36 As they traveled along the road, they came to some water and the eunuch said, “Look, here is water. What can stand in the way of my being baptized?” [37] [c] 38 And he gave orders to stop the chariot. Then both Philip and the eunuch went down into the water and Philip baptized him. 39 When they came up out of the water, the Spirit of the Lord suddenly took Philip away, and the eunuch did not see him again, but went on his way rejoicing. 40 Philip, however, appeared at Azotus and traveled about, preaching the gospel in all the towns until he reached Caesarea.