It depends on how far back you’re asking about.
Mostly, for eras preceding the written word we have to make a lot of guesses using what we know about modern humans, paired with artifacts found around human remains. These artifacts include things like tools, buildings, and personal objects. These things give us clues about the people and time period, and anthropologists sort of piece the rest together into a cohesive story. But they’ll be the first to tell you that it’s a lot of guesswork.
Once we start getting into the time of the written word, though, it starts to get a little more clear. Now, not only do we have artifacts, landmarks, etc, but we also have written records. And anthropologists will take things like laws, religious texts, diaries, tax documents, etc and they use all of these clues to put together a story of the time.
In addition, when combining the work that anthropologists and historians do with the hard sciences (like biology, chemistry, and geology) we can explore the relationship between people and their environments and get even more “proof” of things that happened.
Historians tend to look for confirmation of the facts in as many sources as they can find, but sometimes it’s still a bit of a guessing game. And it’s made muddier when you consider the phrase “history is written by the victors”. But that plays into social and racial issues that is a whole other can of worms when we question the veracity of historical “facts”.
They mostly rely on what the people themselves wrote down. Their day to day lives in diaries can give us insight into how people lived, important occasions recorded on engravings and art on things like palaces can show us what might have happened and how (and then we can use things like carbon dating to know roughly when), and other engravings and art on things like temples can tell us about their beliefs.
If you are speaking of the actual study of history, historians study mainly in written documents, oral accounts, and art. Technically, things taking place before writing are considered Prehistory. At least that is the way it was explained to me in college when I got my worthless B.A. in history. I know this is not your question just wanted to clarify what history is.
The short answer is they look for clues and make the rest of the shit up. History is written by victors is another, most of these clues left behind are biased making one party look better than others. None of which can be proven. it’s harder for future generations to look back, should they ever want to, because we have so much fake news. It’s history means it’s gone, done and dusted.
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