Matthew’s gospel tells us that an angel of the Lord appeared to Joseph in a dream and said:
“Joseph, son of David, do not be afraid to take Mary as your wife; for the Child who has been conceived in her is of the Holy Spirit. She will bear a Son; and you shall call His name Jesus, for He will save His people from their sins.”
We often forget that people of that day and locale did not speak English! (Surprise, surprise!) Instead, in Hebrew, the Son’s name would be Yeshua.
So, how did we get from “Yeshua” to “Jesus,” and should we as Christians conform to the Jewish name? I’ll leave that to your own discretion, but One for Israel has produced an excellent article explaining how the name “Jesus” came to be. I highly recommend it!