Okay, no we don't exactly have that. Tacitus wrote about him, but he was born about twenty years Jesus was supposedly killed. As for the Gospels, we don't know who wrote them, (the naming of them after the apostles is church tradition, as the Gospels themselves don't identify the authors) and they were all written down in another language and in another part of the world at least a generation after the death of Jesus.
Yeah...BUT STILL. Most historians agree that Jesus was a real guy. That's undisputed.
Actually, it is disputed.
I recently read David Fitzgerald's Nailed: Ten Christian Myths That Show That Jesus Never Existed. Another prominent "mythicist" (the word used to describe scholars who insist that Jesus was purely mythological) is Richard Carrier, and he has a book that's coming out soon on the issue, but I've heard some of his speeches and debates.
What do I think? I think that these guys sound pretty convincing.
However, and this is a big however, a lot of things can sound convincing and yet turn out to be total bullcrap. Before I did some more reading on climate change, the "skeptics" ("deniers" is a better term) sounded pretty convincing to me as well. Now, I didn't just fall off the Historical Jesus Turnip Truck. I've done a fair amount of reading on this subject, from several books by John Dominic Crossan to Reza Aslan's recent book, Zealot. These guys are honest enough to say that there's no evidence to take the Gospels literally, but they're both pretty adamant that there's no question that Jesus existed as a human being.
It's also important to point out the burden of proof issue. It's really hard to prove that something or somebody didn't exist. No matter what guys like Fitzgerald and Carrier might be able to present, at best they can show that it was extremely unlikely that Jesus ever existed. Personally, I've always been of the mind that Jesus could very well have existed in the same sense that Achilles existed. It started with an actual guy (or maybe even an amalgam of a few different guys) and then grew in the telling. But hey, I've only read a few books. I'm definitely not a qualified Bible scholar.
Still, I find this fascinating, and I'll probably check out Carrier's new book once it's on Audible. I can't really summarize what Fitzgerald's points were, aside from the bits about how we have no eyewitness testimony to Jesus's existence despite the fact that it all took place in a part of the world where there were enough literate people writing stuff down to make it strange that nobody wrote about it. (But again, that doesn't prove it didn't happen.) A lot of it has to do with what Paul wrote and what he curiously leaves out that shows up in the Gospels. Don't go picking that apart as an argument though - read his book if you care enough and pick that apart.
I haven't spent a lot of time looking into this, but I did check out some counter-arguments to the mythicist idea. From what I've seen, I'm not getting a lot of substance. The main argument seems to be: "The majority of scholars agree that Jesus was a real person." Yeah, sure, that should make you at least seriously consider the idea, but if that's the ONLY rebuttal you have, it's not a very good one - in fact, it's essentially a combination of the Argument from Authority coupled with the Argument from Popularity fallacies.
So, I have no definite take. Seems to me that the mythicists have a tall order on their hands, and they're going to have to bring a lot to the table to make their point. As of right now, I don't feel smart enough on the issue to give any definitive statement as to whether Jesus was a real person or not. The best that I can give you as to my opinion is as follows:
It certainly seems possible that Jesus never existed.