Hector Avalos has a great post over at Debunking Christianity where he takes down the fallacious comparison of the historicity of Jesus and events in his life with the historicity of Alexander and events in his life:
Despite these problems with the sources, the existence of Alexander is a reasonable belief because he has wide and independent attestation from all types of sources, and not just those of his own followers.
Some of these sources date from his own time, and are attested archaeologically, not just from later accounts. So, we don’t just have to depend on later historians such as Plutarch and Arrian.
For example, reliefs at the Shrine of the Bark at Luxor in Egypt mention Alexander by name, and depict him artistically during his lifetime (ca. 330-325 BCE). That would confirm his presence in Egypt mentioned by all major ancient sources.
We also have a Mesopotamian tablet, now at the British Museum and designated as BM 36761, which mentions Alexander by name, and refers to his entry into Babylon (See Mesopotamian evidence):
-Akkadian (BM 36761, Reverse, line 11): A-lek-sa-an-dar-ri-is LUGAL ŠÚ ana E.KI K[U4
-English: “Alexander, the king of the world, entered Babylon”
Of course, Alexander is also mentioned or referenced in the Bible itself (1 Maccabees 1:1-7; Daniel 8:4-8, 21) [link to my blog post on the subject].
The claim found in Plutarch and Arrian that Alexander conquered Babylon is paralleled by this Mesopotamian source, which is not a Greek source or dependent on a Greek source or cannot be said to have been written by a Greek follower of Alexander.
When Egyptian and Mesopotamian sources, which are not otherwise dependent on each other, say the equivalent of “Alexander was here” during his lifetime, then it is reasonable to believe that there existed a man named Alexander who was present at those places.
That is why it is unfair to compare Jesus to Alexander in terms of historical evidence for their existence. There is nothing outside of later Christian sources saying Jesus was anywhere in his lifetime. Nothing in the New Testament is fully contemporary with Jesus.
There also are no Roman or Greek sources saying that there was even a group who believed that Jesus lived or did anything the Gospels allege about him. There is no archaeological evidence of his activities or of the activities of his group from Jesus’ supposed lifetime.
That absence of evidence is curious because, when speaking of Christianity, Acts 28:22 (RSV) says “everywhere it is spoken against.” More traces should remain in the first century of a group that everyone was speaking against.
In the case of Alexander, his fame was present in wide range of sources as is expected of someone who was said to have conquered the known world. Alexander was closer to someone “everywhere spoken about” and there is independent corroborating evidence to confirm that.
It’s a long post, but it’s well worth reading. The point being is that not everyone in antiquity has the same amount of evidence for their actions/existence, and being skeptical of one doesn’t necessitate throwing out the entirety of historiography.