For example, how did we find out about the Anglo-Saxon kingdoms or what Olivier Cromwell did during his lifetime to the reign of Hammurabi? Did we just find ancient books/sites where it gives me bits of evidence that explains a part of history then we just compile the bits of information and design a theory out of it?
You actually already give the answer! Everything we know about history is founded on sources- these can be ruins or book (and a lot more). Since it's usually piecung stuff together, theories might have to be discarded when new evidence is found as well. Historians have also existed for a long time (e.g. Herodot) and we base our own findings on theirs.