I am not convinced that Jesus wanted to start a new religion. I think he was a reformer who saw the problems with Judaism and wanted it reformed so that it was for everypone and not just the wealthy....
I am not convinced Jesus ever existed. I think there is more evidence to support the idea that the Jewish religion underwent the same popular evolution other regional religions underwent when exposed to the Greeks. Richard Carrier gives a brief introduction to this by introducing one to the other religions whose ideas underwent similar Hellenization:
Eleusinian & Dionysian mysteries (Phoenecian - west. Syria
Attis and Cybele mysteries (Phrygean- no. Turkey)
mysteries of Jupiter Dolichenus (Anatolian - west. Turkey)
mysteries of Mythras (Persian - Iran)
Isis & Osiris mysteries (Egyptian)
Christ mystery (Jewish - Israel & Palestine)
The concept of Jesus being a god/man who died and was resurrected for the redemption of mankind was not new to the Jesus cult. Romulus was a Roman state god whose death & resurrection were celebrated in annual plays. Osiris was the Egyptian god who offers salvation in afterlife to those baptized into his death and resurrection. Zalmoxis was the Thracian god whose death & resurrection assures followers eternal life. Jesus was just the Jewish version of this popular character.
The idea that there was a guy on the streets who spoke anything about reform is not an incredible claim at all. The idea that there was a guy on the streets who spoke about reform whose identity is in any way related to the Jewish religion. However, to suggest Jesus existed is to suggest a man just so happened to have contained so many qualities of the dying-rising god/man religions of other regions, only this one was based on a real person. It would be like saying we know the Marvel and DC comics are pure story, but Spiderman was real, even if he was embellished a little.
So in answer to the OP's question, you'll find evidence in the bible that Jesus wanted to start a new religion (as magicmiles explains) but also that Jesus didn't want to start a new religion, for he came to "fulfill" the old one (Matthew 5:17-20: “Do not think that I have come to abolish the Law or the Prophets; I have not come to abolish them but to fulfill them. For truly, I say to you, until heaven and earth pass away, not an iota, not a dot, will pass from the Law until all is accomplished. Therefore whoever relaxes one of the least of these commandments and teaches others to do the same will be called least in the kingdom of heaven, but whoever does them and teaches them will be called great in the kingdom of heaven. For I tell you, unless your righteousness exceeds that of the scribes and Pharisees, you will never enter the kingdom of heaven."). In any case, you might be interested in the following videos. The first is long, but I think quite informative and fascinating. It's an historical look at the development of the character of Jesus. This second is a neurological explanation of certain obsessions and how they might be a more valid explanation of the origins of Christian rituals/religion.
Richard Carrier, historian
Yes, this is very long!
Richard Sapolski, neurologist