By the time Jesus was born, the land of the Israelites had been absorbed into the Roman Empire as the province of Judea. At the time of Jesus' birth, Judea was under the control of Herod the Great, best known for building the massive temple in Jerusalem that the Romans would later destroy. And by the time Jesus died, an expanded Judea was under the rule of Herod Antipater, also unhelpfully known as Herod. Both Herods ultimately took their orders from the Romans, and they both show up on the list of rulers who were oppressive to the Jews, partly because there's never that much religious freedom in an empire. Unless you are, wait for it, the Mongols. Or the Persians. Also they were Hellenizers, bringing in Greek theater and architecture and rationalism.