Scripture does not explain this. The answer comes from the history of languages. It happened through transliteration. That means writing a name using the sounds and letters of another language.
His name in Hebrew sounds like “Yahushua.” When it was written in Greek and Latin, it sounded like “Iesus.” In early English it became “Yesus.” Later, when English began to use a “J” sound, it became “Jesus.”
The same thing still happens today. Say an English speaker visits Japan. If they say a name like “Phillip” out loud, people there can say it back just the same. But if that name is written using Japanese sounds and read aloud, it comes out like “Firippu.”
You will hear many myths about how the name changed. Just know that His name is Yahushua. Some people say it a little differently. Once you know His name, it makes sense to call Him by it. The rest is up for debate, so don’t spend your time on it.
Answered by Taught of Yah