Things that "happen" tend to leave evidence. This evidence can take many forms. Sometimes it is very physical: you can tell where battles happened because if you sort through that soil, you'll find weapons, bones, and things of that nature. Sometimes it is informational: writing has been going on for thousands of years, and even the most trivial event — "X sold Y a cow" — can leave an inscription (e.g., a receipt). Sometimes it is very direct (a diary entry, a letter, a "history of X" written by someone), sometimes it is very indirect (the trash of a civilization tells you much about it; sometimes you can infer that something terrible happened to a place by the fact that it clearly burned to the ground, just after receiving warning of an incoming army).

Records that travel by word of mouth tend to degrade or morph over time (the old game of telephone) but sometimes they eventually get written down (many ancient texts like the Old Testament or the Odyssey of Homer are believed to have been oral traditions prior to being written down).

The job of archeologists, historians, anthropologists, folklorists, and many other disciplines is to reconstruct this evidence and make sense of it, to figure out (as best that we can) what actually happened in the past. It is not easy and it is not straightforward. Even in places (maybe especially in places) where there is a lot of documentation, figuring out what actually happened is not as easy as simply reading everything and taking it for granted. There is always a lot of uncertainty, and with that comes much room for interpretation. A historian/archeologists/etc. is an expert who is trained in how to assess this evidence and how to interpret it.