It depends on the era and the things discussed. It should be firstly noted that many of the events described within the Bible we simply would not expect physical evidence to exist of, and then it also depends on the type of "physical" evidence. If you mean archaeological evidence, then most of our evidence comes from after the time of King David, by far, and there is really nothing which supports the historicity of the narratives of the Exodus, or the patriarchs. In fact, some narratives we simply know could not physically happen as described. For example, we know for a fact that parts of Genesis are completely ahistorical because the Philistines were Sea Peoples who arrived after the supposed life of Moses (as scholars like Eric Cline and others note)!

Other stories, like the conquests of Joshua have little to no evidence to support their historicity either, due to the lack of archaeological evidence.

This being said, we have textual and some archaeological evidence to demonstrate that later narratives were most certainly historical. The wars between Israel and their vassals, the Moabites, is a historical occurrence for which two primary texts survive: the book of 2 Kings, and the Mesha Stele, which was commissioned by the Moabite leader of the time. This demonstrated quite clearly that the conflict in the Bible was a historical event, and also confirmed a few historical figures from the Bible, including Mesha and king Omri. The Siege of Jerusalem by Nebuchadnezzar II in 597 is attested both in the Biblical texts, and then also in the Jerusalem Chronicle, a neo-Babylonian cuneiform tablet. Additionally, archaeological finds including the Mesha Stele and the Tel Dan inscription attest that the House of David, the aristocratic house, existed by the 9th century BCE, only a few generations after David would have lived, which provides good evidence that he was a historical figure. As Israel Finkelstein and Neil Asher Silberman have noted:

“There is hardly a reason to doubt the historicity of David and Solomon,”

see The Bible Unearthed: Archaeology’s New Vision of Ancient Israel and the Origin of Its Sacred Texts (New York: Free Press, 2001), 142.

Likewise, there are confirmable historical events in the New Testament, though the chronology is less certain. Jesus was most likely a historical figure who died some time in the 30s CE, likely condemned to death. Whether by Pilate or not I will say is open for debate, since the Gospels have long been recognized unreliable and Paul says nothing of Pilate in his authentic seven letters.

Paul is a historical figure, who we know lived after the death of Jesus, and there are also some datable events within his lifetime, including that he lived while Aretas IV, which gives us a good way to broadly date his letters, around 50-65ish CE. That being said, Paul's death remains a matter of mystery. Did he die as a martyr in Rome? Eh, Christina Petterson's research shows that martyrdom narratives were being regularly invented by early Christians and cannot be trusted to impart historically accurate accounts.

Anyways, we have, from around 600 BCE onward, good evidence that many things depicted in the Bible are historical events, both through archaeological and textual means. That being said, there are also simply many things which did not happen. Nebuchadnezzar (contra Ezekiel) never conquered Tyre, as the prophet claimed he would, nor are the anti-Babylonian stories about Nebuchadnezzar likely historical either.

So, as with anything, the answer is yes and no. It simply depends on the issue. Generally, scholars have come to the conclusion that most of the books up through to the books of Kings, are largely ahistorical and legendary. Abraham, Moses, Joshua, etc... if they existed, there is no evidence left of them.

For good books on the subject, see:

William G. Dever, What Did the Biblical Writers Know and When did they Know it (Grand Rapids: Eerdmans, 2001)

Israel Finkelstein and Neil Asher Silberman, David and Solomon: In Search of the Bible’s Sacred Kings and the Roots of the Western Tradition (New York: Free Press, 2006)

Joel Baden, The Historical David: The Real Life of an Invented Hero (New York: HarperOne, 2013)

Ronald H. Sack, Images of Nebuchadnezzar: The Emergence of a Legend, Second Edition (Selinsgrove: Susquehanna University Press, 2004)

Bart Ehrman, Did Jesus Exist? The Historical Argument for Jesus of Nazareth (New York: HarperOne, 2012)

M. David Litwa, How the Gospels Became History (New Haven: Yale University Press, 2018)

James Crossley, Jesus and the Chaos of History: Redirecting the Life of the Historical Jesus (Oxford: Oxford University Press, 2015)