It's not just that he existed -- for which there is plenty of proof, better than for many other figures of antiquity whom historians assume existed, based on the evidence we have in those cases. It's also a fact that this one person evidently had such an enormous impact on those around him, and an impact that expanded so far in space and time (and still is). It's hard to come up with a better explanation than that the Gospel was about the teachings of one person, with others writing about him. The alternatives -- some kind of hoax, mistake, communal delusion? -- make it difficult to account for the strength of the moral vision in the Gospels and the rest of the New Testament. It's possible to come up with those kinds of explanations, but they don't seem to cohere nearly as well as the simplest explanation: This was one extraordinary man, even God. The historical evidence gets me very close to believing he is God. What pushes me over the top is simply reading and contemplating the Gospels and the New Testament. Maybe it's faith or maybe it's just a different kind of evidence from historical or scientific, but I find it easier -- that is, more sensible, more reasonable -- to believe than to not believe.
The four books of the Gospel themselves are historical evidence, and simply because they advocate his Godhood doesn't mean that, even if you reject the idea of his Godhood, they stop being evidence of various things (such as his existence), just like other historical documents.
As far as existence of the person goes, we probably have better evidence for Jesus than for Muhammad and Bhudda and St. Paul and Confucius, the only other people I can think of that even come close to Jesus in terms of historical influence. I suppose some scholars must have advocated the position that each of these never actually existed either, but you don't tend to hear about that much, and it runs into the same problems: the easier, simpler, more direct explanation is that they existed. Occam's razor, and all that.
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