Christianity started with Judaism, so I'll tell the story of that first.
Inside of Egypt there were a group of people known as the Hebrews. They were oppressed by the Egyptians and specifically the Pharaoh. Moses, a Hebrew and adopted prince of Egypt, snapped one day and killed one of these Egyptians. When word got out of this, he fled to the wilderness. Many years later, God came to Moses, and told him to lead his people out of Egypt. He did so, and God formed a covenant with him and his people, a covenant that his people consistently were unable to follow. God anticipated this, and ensured that the prophets were told about a future messiah that would come and redeem the people.
Thousands of years later, Jesus came. He was a Rabbi born to a virgin, and performed miracles such as healings and driving out demons, but He also preached a "radical new doctrine" which the religious leaders hated, because it was unarguably right and showed them to be hypocrites. So, they plotted to kill Jesus, and Jesus knew it. Not only did He successfully predict His death, but He also knew who would betray Him, and let Himself be killed. Why? For three good reasons:
1) He was the prophesied Messiah, fulfilling the prophesies of the Old Testament prophets.
2) His death redeemed the people, or at least those who believed and accepted Him.
3) He knew that He would come back to life three days later.
He came back to life three days later, and taught His followers what to do. His followers followed His instructions, now finally understanding Jesus. Not wanting the accounts of Jesus to be lost, some of the followers wrote down their testimonies of what Jesus did. These writings are known today as the Gospels, the first four books of the New Testament.