According to Jude (Christ;s 1/2 brother) Jesus was involved in leading Israel out of Egypt during the Exodus & in dealing with them during the wilderness years:
"Now I want to remind you, although you once fully knew it, that Jesus, who saved a people out of the land of Egypt, afterward destroyed those who did not believe."
(Jude 1:5 ESV)
Paul further backs this up by stating:
"Do not be idolaters as some of them were; as it is written, “The people sat down to eat and drink and rose up to play.” We must not indulge in sexual immorality as some of them did, and twenty-three thousand fell in a single day. We must not put Christ to the test, as some of them did and were destroyed by serpents..."
(1 Corinthians 10:7-9 ESV)
Underlining added by me.