Jesus is the name given the angel told Joseph to call his step-son:
But as he considered these things, behold, an angel of the Lord appeared to him in a dream, saying, “Joseph, son of David, do not fear to take Mary as your wife, for that which is conceived in her is from the Holy Spirit. 21 She will bear a son, and you shall call his name Jesus, for he will save his people from their sins.” (Matthew 1:20-21)
However, “Jesus” is not the way anyone in that era would have pronounced the name. It comes from the Hebrew Yehoshua or Aramaic Yeshua (equivalent to Joshua) meaning “Yahweh saves”. So most likely all of Jesus’s original followers and all the believers in the first few years of the church said something like Yeshua (pronounced Ye-SHU-a).
The Greek version of the name is Iesous (pronounced ee-ay-SOOS), which would presumably have been used by the Greek-speaking believers once Christianity started to spread further afield. The Latin version is Iesus (pronounced Ye-SOOS), from which we get Jesus.
In fact, the modern pronunciation of Jesus only came about during the 17th century. The earliest editions of the KJV spelled it Iesus or Iesvs, but by 1629 it began to adopt the spelling “Jesus”, presumably reflecting the contemporary pronunciation.