It's actually more complicated than all this.
The whole area from northern Germany to Siberia (at least) was populated by Uralic people before the Indo-Europeans showed up. There were a few waves of Uralic migration, but the last wave to settle in the Baltics were South Balto-Finnic speakers (the family that includes Estonian, Karelian, and a number of dead and near-dead languages).
The primary South Balto-Finnic language of Prussia was Prussian Kurzeme, a dialect of Western Livonian (aka Liv). There are no Liv speakers left in Prussia, but there are still a few in small coastal villages in Latvia.
Then, some Indo-European got sick of the Black Sea and decided to check out Europe. This was the Celto-Germanic migration. Some (the Celto-Italics) went southwest (although a small subgroup, the Tocharians, got lost and ended up chasing the Uzbeks around, sacking Bactria, and eventually bringing their kilts to western China); the rest (the Germano-Slavics) kept moving north until they reached the Baltic Sea.
The branch of Germano-Slavic people who ended up in Prussia spoke languages in the Baltic family, mainly Old Prussian (which has been completely extinct for centuries).
While there was some dislocation and extermination, there was a lot more peaceful coexistance, intermarriage, and assimilation. Meanwhile, other Germano-Slavic people wandered in and out of the area over the centuries (they tended to move around quite a bit).
So, throughout the area, you had a mix of Balto-Finnic, Baltic, Western Slavic (Polish), Eastern Slavic (Russian), and Eastern Germanic (Gothic) people, including many mixed-breed types, multi-ethnic villages, etc.
As each area developed, a common language became useful for trade and government. The pattern of chosen languages was pretty much a patchwork. In most of Prussia, Lithuania, and Eastern Latvia, they settled on Baltic languages (Old Prussian, Lithuanian, Latvian). In most of Western Latvia and Northern Estonia, they settled on Balto-Finnic languages (Western Livonian, Estonian). In most of Southern Estonia, they ended up with an East Slavic language (Northwest Ukranian, which was definitely a minority language but still ended up as the standard language for the region).
So, it was all pretty crazy before the Knights even showed up, bringing a West Germanic language just to confuse the mix. And later, Poland brought in their West Slavic language.
To make matters even more confusing, there was a hodgepodge of religions in the region. Catholic, Protestant, and Orthodox were all represented, and there were a few people in some villages still practicing Finnic paganism hundreds of years later than you'd expect.
In other words, it's pretty hard to come up with a 'Prussian' identity, ethnically, linguistically, or historically. Most people in the area are relatively recent immigrants, and the rest are ethnically diverse, often mixed breeds, and many of them do not speak the same language as even their grandparents, much less their ancestors of the 16th century.
So, by the time the concept of nationalism reached eastern Europe, there was no possible concept of Prussian identity to coalesce around. The Prussia you think of historically really was more of an army looking for a place to exercise power than a nation in any useful sense.
All of this probably explains why most modern Prussians, no matter how they trace their ancestry (if they even can) think of themselves as Polish.
Originally posted by Janbalk
The same as Latvians and Lithuanias probably, but thoose languages are slavic, admittedly not closley related to any other now exicting slavic languages.
OK, Old Prussian is very closely related to Latvian and Lithuanian--they're all in the Baltic family. But there's a lot of disagreement among historical linguists about whether the Baltic languages are Slavic.
The most common way to place the Baltic family is as a sister to Slavic (under a family called Balto-Slavic, sister to Germanic) or as a sister to Slavic and Germanic (directly under Germano-Slavic), but a few linguists do agree with you (usually the same ones who put West Slavic and East Slavic under the intermediate family North Slavic).
Estonias are talking a non-indoeuopaan language (closley related to Finnish, and not so closley with Hungarian) not related to Latvian or Lithuanian.
Yep. To be precise, Estonian is a South Balto-Finnic language, so it's directly related to Liv, and Karelian. Finnish, a North Balto-Finnic language, is a first-degree cousin. Hungarian is an Ugric language, which makes it a cousin a few times removed.
Of course if you believe the Nostratic hypothesis, then Uralic-Yukaghir (the grandparent of Finno-Ugric) is a sister to Indo-European, so Estonian is still distantly related to Old Prussian. It goes something like this:
Old Prussian:Baltic:Balto-Slavic:German-Slavic:Celto-Germanic:Indo-European:Nostratic.
Estonian:South Balto-Finnic:Balto-Finnic:Finno-Lappic:Finno-Mordvinic:Finno-Cheremisic:Finno-Permic:Finno-Ugric:Uralic:Uralic-Yukaghir:Nostratic
But even if this hypothesis is right, they're pretty distant relatives (about as closely related to Turkish as they are to each other).
Keep in mind that all of these language family classifications are undergoing continual debate and reorganization as new evidence surfaces (or just because of people with chips of their shoulders). For example, when I was in school, less than a decade ago, I was reading arguments that Mordvin is closer to Finnish languages than Lapp is. Now, both languages have new names (Moksha and Saami), and Moksha has been moved even farther away.
If you're not yet thoroughly bored, check out
http://www.sil.org/ethnologue/ and
http://www.linguasphere.org/ (neither of which mention Nostratic or most of the intermediate families under Indo-European, or provide much historical information, but they still contain enough data between them to help fight your insomnia).