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That's not the real question though. The real question is rather are there any "real physical proof" that Jesus had literally anything special that is in itself being the "son of God" or anything related to religion.
Anybody (sadly) can be crucified, especially during a period where it is trendy. Anybody can walk through part of the desert. Anybody can organize a meal, give a speech, etc.
Even if it's done exceptionally well, that does not make it special in the sense of being the proof of anything religious. We all have friends with unique talents, and social media helped us discovered that there are so many more of those around the entire world, but nobody in their right mind would claim that because Eminem can sing words intelligibly faster than the vast majority of people he is the son of "God".
I also read a book about a decade ago (unfortunately didn't write down notes about it so can't find the name back) on the history of religion, from polytheism to monotheism, and it was quite interesting. If I remember correctly one way to interpret it was through the lens of religions maintaining themselves over time and space, which could include growing to a sufficient size in terms of devout adepts. The point being that veracity was not part of the equation.
Well, that's the question if you want to believe in Christianity.
It's nearly universally accepted that he is a historical figure, though there is little to no evidence of that. The OP is asking why is that the case with so little evidence. They (presumably) aren't asking for a religious reason, just as an interest in history. If you are Christian and asking this question you are well past the point of no return for your faith
Eminem claimed to be a Rap God though. Praise be onto him.
No, OPs question was perfectly fine, because it is necessary to stress the fact that we have not a single contemporary primary source that Jesus existed. So adding extra parameters is pretty pointless, since we cannot convincingly answer whether he actually existed, much less whether he was a religious figure. Scholars have reached a conjectural consensus that a Jesus in some form likely existed, but it is a consendus based on congecture and circumstantial evidence in the form of later secondary sources.
Praise be Sol Invictus, the real OG Jesus