Besides Xenophon's Anabasis, other Greek sources from the Classical period recount the story; I've written a post recently about how the tale would have spread after the survivors returned to Greece. It seems there was more than one account of the march in circulation, although only that of Xenophon (which he wrote under the pseudonym of Themistogenes of Syracuse) remains. The brief account given by Diodoros of Sicily (14.19-31) differs from that of Xenophon in some ways, which suggests that Diodoros may have read some of the other versions of the story that existed. Also, there are fragments of the work of Ktesias, a Greek who served as the personal physician to King Artaxerxes II during his campaign against Kyros the Younger.

However, if you're asking for more tangible evidence, it is harder to say. There is no reason to doubt that Xenophon's account of his journey through Asia Minor and Mesopotamia is authentic, given the detailed descriptions of his experiences that he provides. But archaeological traces are pretty much non-existent. The only tantalising piece of evidence we get is some Greek grafitti on an Assyrian wall relief from Nineveh, now in the British Museum. Xenophon claims the Ten Thousand passed by some ancient ruins in the desert, which are usually identified as the remains of Nineveh, the capital of the Neo-Assyrian Empire. The inscription may well have been left there by one of the mercenaries.

What timeless wisdom did the Ten Thousand wish to impart on future generations, you ask? Next to a relief of a mule, some Greek, no doubt impressed with his own wit, wrote "eeyore".