They've been latinized or hellenized, then anglicanized, germanized, swedishized, norwegianized, danishized, polishized, slovakized etc. to make them "fit" better to the tongue of the populace living in the region in question. The process in the question of biblical names, e.g Joseph, Mary, Jesus, John, Jonathan, etc, was tied to christianization of Europe, as former pagans occasionally took Christian names after being baptized, and Christians gave their offspring Christian names.

Actually Arthur would be the earliest Welsh rendering of the name, which appears, completely in passing, in the medieval Welsh elegy Y Gododdin:

Gochore brein du ar uur

Caer ceni bei ef Arthur

Rug ciuin uerthi ig disur

Ig kynnor guernor guaurdur.

And the translation in John Koch and John Carey's The Celtic Heroic Age:

[He] used to bring black crows down in front of the wall

of the fortified town - though he was not Arthur -

amongst men mighty in feats

in the front of the barrier of alder wood-Gorddur.

A more poetic translation that is perhaps is more easily understood, if less strictly accurate:

He fed black ravens on the wall of the fortress, although he was no Arthur.

Among those powerful in feats; In the front rank, a pallisade - Gwawrddur.

Y Gododdin is variously dated, I believe between the 7th and 11th Centuries, but as far as I know it is the earliest literary reference to Arthur, though an Arthurian scholar can feel free to correct me.