Jesus was his human name, the name which God, through the Angel Gabriel at the annunciation, told his mother to name him..
**Then the angel said to her, "Do not be afraid, Mary, for you have found favor with God. Behold, you will conceive in your womb and bear a son, and you shall name him Jesus. He will be great and will be called Son of the Most High, (Luke 1:30-32)
Christ (or "The Christ") means annointed (the annointed). So when we say Jesus Christ, we are saying "Jesus the annointed." Annointing with oil is part of the ritual when one was made king.
**Then Samuel asked Jesse, "Are these all the sons you have?" Jesse replied, "There is still the youngest, who is tending the sheep." Samuel said to Jesse, "Send for him; we will not begin the sacrificial banquet until he arrives here." Jesse sent and had the young man brought to them. He was ruddy, a youth handsome to behold and making a splendid appearance. The LORD said, "There-anoint him, for this is he!" Then Samuel, with the horn of oil in hand, anointed him in the midst of his brothers; and from that day on, the spirit of the LORD rushed upon David. When Samuel took his leave, he went to Ramah. (1 Samuel 16:11-13)
The prophet Isaiah fortold of a virgin giving birth to a son who would be named Immanuel. Immanuel is a Hebrew compound of two words "God" and "With us" and so literally means "God is with us."
**Then he said: Listen, O house of David! Is it not enough for you to weary men, must you also weary my God? Therefore the Lord himself will give you this sign: the virgin shall be with child, and bear a son, and shall name him Immanuel. (Isaiah 7:14)
Matthew recounted Joseph's dream where an angel of the Lord told him not to be afraid to take Mary into his home and that she would bear a son whom he was to name Jesus. Mathew states that this was done to fulfill the prophecy of Isaiah. Note that Matthew uses a slightly different form of the word. Emmanuel vs Immanual, but they have the same meaning.
**All this took place to fulfill what the Lord had said through the prophet: "Behold, the virgin shall be with child and bear a son, and they shall name him Emmanuel," which means "God is with us." (Matthew 1:22-23)
Moses had asked God what his name was back in the Book of Exodus. God replies with what is undoubtedly the best humans could ever do to describe God's essence... I AM.
**"But," said Moses to God, "when I go to the Israelites and say to them, 'The God of your fathers has sent me to you,' if they ask me, 'What is his name?' what am I to tell them?" God replied, "I am who am." Then he added, "This is what you shall tell the Israelites: I AM sent me to you." (Exodus 3:13-14)
Jesus alludes to this name and in so doing, states that he is the divine second person of the Trinity, co-substantial with God the Father...
**So the Jews said to him, "You are not yet fifty years old and you have seen Abraham?" Jesus said to them, "Amen, amen, I say to you, before Abraham came to be, I AM." So they picked up stones to throw at him; but Jesus hid and went out of the temple area. (John 8:57-59)
Jehovah is something that Richard Russel made up when he started the Jehovah's Witness religion in the 1800's.