Midrash sa Exodo 19:18: Bamidbar Rabbah, Mekhilta DeRabbi Yishmael, Midrash Tanchuma & Midrash Tanchuma Buber

“The Lord spoke to Moses in the wilderness of Sinai” – why in the wilderness of Sinai? From here the Sages taught that the Torah was given with three elements: With fire, with water, and in the wilderness. With fire, from where is it derived? “Mount Sinai was all smoke, [because the Lord had descended upon it in fire]” (Exodus 19:18). In water, from where is it derived? It is as it is stated: “Indeed, the heavens dripped, indeed, the clouds dripped water” (Judges 5:4).⁹The verse is a reference to the giving of the Torah. In the wilderness, from where is it derived? “The Lord spoke to Moses in the wilderness of Sinai.” Why was it given with these three elements? It is, that just as these are free for all mankind, so, matters of Torah are free, as it is stated: “Ho, everyone who is thirsty go to water” (Isaiah 55:1).¹⁰“Incline your ear and go to Me; take heed and your soul will live” (Isaiah 55:3), a reference to Torah, is written two verses later.
Another matter: “The Lord spoke to Moses in the wilderness of Sinai” – it is, that anyone who does not render himself like a wilderness, accessible to all, is unable to acquire wisdom and the Torah. That is why it is stated: “In the wilderness of Sinai.”

(Exodus 19:18) "And the whole of Mount Sinai smoked": I might think the place of the divine Presence alone; it is, therefore, written "the whole." "for the L–rd had come down upon it in fire": We are hereby apprised that the Torah is fire, that it was given from fire, and that it is comparable to fire, i.e., just as with fire, if one gets (too) close to it, he is burned, and if he is (too) far from it, he is chilled, so, (with Torah) one must "heat" himself only by its light, (and not in its "flames").

(Numb. 1:1:) “Then the Lord spoke unto Moses.” Fortunate are you, Moses!²⁵Numb. R. 1:6; cf. Lev. R. 1:1. Six hundred thousand were present with the priests, the Levites, and the elders. They were all present there; yet out of them all, He only spoke there with Moses, as stated (ibid.), “Then the Lord spoke unto Moses.” (Ibid., cont.) “In the Sinai desert.” Why in the Sinai desert?²⁶Numb. R. 1:7. From here our masters have taught, “The Torah was given through three things: through fire, through water, and through the desert.²⁷Mekhilta deRabbi Ishmael, Bashodesh 5. Through fire, as stated (in Exod. 19:18), ‘Now all of Mount Sinai was emitting smoke because the Lord had descended upon it in fire, and the smoke from it arose like smoke from a furnace, and the whole mountain trembled greatly.’ Through water, as stated (in Jud. 5:4), ‘Lord, when You went forth from Seir, when You marched [from the field of Edom, the earth trembled, even the heavens dripped, even the clouds dropped water].’ Through (i.e., in)²⁸In Hebrew the prefix b used here can be translated either “through” or “in.” the desert, as stated (in Numb. 1:1), ‘Then the Lord spoke unto Moses in the Sinai desert.’” And why was it given through these three things? It is that, just as these are free for all who come into the world, so too are the words of the Torah free for all who come to the world. Thus it is stated (in Is. 55:1), “Ho, all who are thirsty, come to the waters (of Torah); even if you have no money, come, buy food, and eat. So come, buy food, wine, and milk without money and without cost.” “In the Sinai Desert.” Why in the Sinai desert? It is that whoever does not make himself ownerless like the desert cannot acquire²⁹The Hebrew verb also means “buy.” the Torah.³⁰See ‘Eruv. 54a; Mekhilta deRabbi Ishmael, Bashodesh 1. It is therefore stated, “in the Sinai desert.”