As spirit children of Heavenly Father, each of us have both an earthly father and a Heavenly Father.
Our earthly father, the guy that most of us call "dad" is the father of our physical bodies.
Heavenly Father is the father of the spirits inside our bodies. Another name for Heavenly Father is God.
Jesus has only one father, because Heavenly Father is the father of Jesus’ spirit and his physical body. That is why Jesus is called the Son of God.
We can know that Jesus Christ is the son of god because Heavenly Father himself has said so. When Jesus Christ was baptized by John in the river Jordan, Heavenly Father's voice was heard from heaven. He said, "This is my beloved son, in whom I am well pleased."
Many years later, when God the Father appeared to Joseph Smith in the sacred grove, Heavenly Father introduced Jesus by saying "This is My Beloved Son".
Many of Christ's apostles and prophets have also taught us that Jesus Christ is the son of god. The chief apostle at the time of Christ, Simon Peter, told Jesus: "Thou art Christ, the son of the living God."
One of our latter-day prophets, President Gordon B. Hinckley said: "Believe in Jesus Christ, our Savior and our Redeemer, the Son of God, who came to earth...to teach us the way of truth and light"
If we have faith, and ask our Heavenly Father in prayer, each of us can know for ourselves that Jesus Christ is the son of god. The Holy Ghost will testify to each of us the truth of all things.
In the Name of Jesus Christ, Amen.