Jesus was not mentioned by Greek or Roman sources in the first 100 years. And, his first Greco-Roman reference was a passing reference. Paul also tells us very little about what Jesus specifically said. Our earliest sources are the four gospels. They are not particularly reliable, but that doesn’t mean they are useless. The Gospels are not first-hand testimony, but people reporting hearsay. They couldn’t know Jesus’s exact words.
We can look at which testimony is earlier, whether one seems to be emphasizing a bias or a message rather than just telling us what happened, to what extent different sources agree with each other, and the extent that Jesus is saying something that seems like his followers would not want him to say.