In Jewish use, the books that make up the Hebrew Bible are arranged in a different order than in our Bibles. They are grouped under three headings, the Law, the Prophets, and the Writings. In Jesus’ day the books now known as the Writings had not yet been assembled into a set canon, which is why he speaks about “the Law and the Prophets” only.
Here is the full list:
The Law.―Genesis, Exodus, Leviticus, Numbers, Deuteronomy.
The Prophets.―Joshua, Judges, 1 & 2 Samuel, 1 & 2 Kings, Isaiah, Jeremiah, Ezekiel, the Twelve (the minor prophets from Hosea to Malachi, counted as a single book).
The Writings.―Psalms, Proverbs, Job, Song of Songs, Ruth, Lamentations, Ecclesiastes, Esther, Daniel, Ezra, Nehemiah, 1 & 2 Chronicles.