Jesus was born, lived and died as a Jewish man. Though he is now considered the founder of Christianity, he was born to a Jewish mother in an area of the world populated predominately by Jewish people.
Biblical texts in which Jesus' life and teachings are covered describe Jesus as the typical Jewish man of his time. When he worshipped, it was in a synagogue and took the form of traditional Jewish communal worship. His teachings also included sections from Jewish text. Like many Jews of his time, he went on a pilgrimage to Jerusalem to visit the Jewish temple. He also celebrated Jewish festivals.
What the Bible does not tell readers is the type of Jew that Jesus was. He doesn't appear to have belonged to any of the Jewish groups identified and described by Josephus. He was not a Sadducee or a Phaisee, nor was he an Essene or an insurrectionist. Most of the confusion surrounding Jesus' religion stems around the fact that a new religion sprang up as a result of his teachings. All his followers were Jewish, though, and came from traditional Jewish backgrounds. At the time, there was no desire to create Christianity as a separate belief system even after his death.