As far as I know, we simply don't have directly contemporary, first-hand evidence of him. Even the most 'contemporary' accounts of him that still exist were written at least 50 years after he would have died, and those are quite cursory. Perhaps primary sources were lost--or intentionally destroyed when they didn't align with beliefs--or perhaps they never existed. There's not even much evidence for Pontius Pilate (I think one source mentioning that he was recalled to Rome and executed for incompetence?), and there should be, given that he was a Roman official.
People that study the history of the bible--as in, the historical bible, not the bible as a religious text--tend to believe that a historical Jesus existed, even if they don't believe that he was divine.
IMO, the most likely explanation is that Jesus was yet another in a long-line of false messiahs, and was summarily executed by Rome for trying to start yet another rebellion. Since cult members tend to be unable to reconcile reality with their beliefs, they could have reframed their beliefs to say that he was a spiritual messiah, rather than a physical messiah.