There are numerous non-biblical accounts concerning Jesus and we have documents close to the original manuscripts attesting to his life and works, some dating to within the 1st century.
Consider that the earliest manuscripts we have for Homer's Illiad, for example, are 500 years from the original.
Julius Caesar's Gallic Wars, 1,000 years.
Herodotus's History, 1,300 years.
There are only 643 manuscripts of Homer's Illiad available to us; 10 for Gallic Wars; 8 for Herodotus's History.
The manuscripts we have of the Bible's New Testament, including the accounts of Jesus' life, are as close as 25 years to the originals and number over 24,000. As far as ancient documents go, nothing really compares.
There is much less documentation for Alexander the Great. So, it isn't the lack of evidence at issue. It is whether or not one believes the accounts that are written in the ancient documents.