Perhaps you've never heard of Josephus?
More importantly, however, you'd probably be astonished by the facts that a) the Bible has more manuscript support than any other document of antiquity, and that b) people accept the authenticity of far less well-attested documents without question, and that c) the absence of external evidence in no way, shape or form has any intrinsic bearing on the question of the historicity of the events recorded in the Bible. Prior to the last century or so, no one thought that there were Hittites, for just one example.
Even Troy was once considered to have been a mythical place, on the simple basis of the fact that there was no evidence then known to support the idea that it was a real place. Ditto Pompeii.
Go check it out...
Yes, you should