There is no record of him outside of Acts, but most Centurions don't have records written about them.

The Acts Seminar voted the Cornelius conversion to be "very improbable" as history (for a number of reasons, mostly relating to bearing characteristics of Luke's other fictive stories), but allows that Cornelius represented a type of early Gentile convert (i.e. "God-fearers" - Gentiles who were interested in Judaism and went to Synagogues but did not go all the way and get circumcized). These were the kind of people that Paul was trying to poach from Jewish synagogues (Same Goddy goodness, now with less circumcision) and Roman soldiers could have been among them. There may possibly have been a Cornelius (there would at least have been a first Roman soldier of high rank to convert), but the story in Acts is still really a theological one which contains Luke's own embellishments and personal thematic goals.