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Jesus and almost everyone he interacted with practiced some form of Second Temple Judaism Uou can colloquially say he was a Jew even if that is a modern term.

Ἰουδαῖοι (Ioudaioi) did have a broader meaning in the Levant, but by the time of the birth of Jesus, the term was VERY solidly an ethnoreligious term connected to Second Temple Judaism, even if also still occasionally used to describe region or tribal identity.

By the time we get to, say, Matthew 27:37 it is VERY if not completely used as an ethnoreligious identity.

Καὶ ἐπέθηκαν ἐπάνω τῆς κεφαλῆς αὐτοῦ τὴν αἰτίαν αὐτοῦ γεγραμμένην· Οὗτός ἐστιν Ἰησοῦς ὁ βασιλεὺς τῶν Ἰουδαίων.

And they placed above His head the charge against Him written: 'This is Jesus, the King of the Jews.'