Josephus:

Josephus was a Jewish historian and scholar. He wrote this about Jesus, “At this time, there was a wise man who was called Jesus. And his conduct was good, and he was known to be virtuous. And many people from among the Jews and other nations became his disciples. Pilate condemns him to be crucified and to die. And those who had become his disciples did not abandon his discipleship. They reported that he had appeared to them after his crucifixion and that he was alive; accordingly, he was perhaps the Messiah concerning whom the prophets have recounted wonders." (He also spoke about John the Baptists' Execution)

It should be noted that there are objections to Josephus's claims. Since he seems so "pro-Christian" many have concluded he is biased but other than this no real claim actually stands against this writing.

Suetonius:

Suetonius was a Roman historian who mentioned Christ! In his writings, he said this, "Since the Jews constantly made disturbances at the instigation of Chrestus, he, by Emperor Claudius, expelled them from Rome," (The Life of Claduis 25.4). The word, "Chrestus", is a reference to the word for a Messiah.

Tacitus: 

Tacitus was a Roman politician as well as a historian. He was extremely negative towards Christians, stating, "Nero fabricated scapegoats and punished with every refinement the notoriously depraved Christians… Their originator, Christ, had been executed in Tiberius’ reign by the governor of Judea, Pontius Pilatus" (Annals 15:44).