The responses so far are interesting in that they obviously reflect the religious point-of-view of the writer. I would agree with the OP that Jesus was a Jew (I really didn’t think that was debatable), as were his core Apostles. He was certainly not “non-denominational”; unless that is meant in the sense that Jesus attracted and embraced people of all kinds of faiths and beliefs and irrespective of their standing within their faith.
Comment regarding the baptism of Jesus. When that occurred, no one was being baptized as a “Christian” since there was no such thing at that point. The people John was baptizing were being called to repentance, to change their lives, not to become members of a certain religion. And Jesus was not a “Christian”, but his followers and disciples were, or become such in time (which I would date as following the Resurrection).