There's obviously no canon answer. But there is a lot of indication that at least some wizards are Christians, outside of Christmas celebrations.
- Rowling has said that Hogwarts is a "multifaith school." It's safe to assume that for most of its thousand-year history, the primary of those faiths would be the almost universal faith of the United Kingdom and Ireland: Christianity.
- The wizarding hospital is named for an actual saint and one of Hogwarts' ghosts is a friar.
- Harry's parents have a Gospel verse (a Jesus quote, incidentally) on their headstones.
- Harry has a godfather, which typically requires a baptism.
Which begs the question of why so many wizards would steep themselves in Christianity and Christian traditions if they didn't believe its central tenets.
Keep in mind that many of Jesus' reported miracles are considered basically impossible using magic. While Muggles would be mystified by Jesus' disregard for the laws of physics, for wizards, his disregard for Gamp's Laws would be equally miraculous. Among the impossible:
- Bringing people back from the dead
- Bringing himself back from the dead
- Passing on his miraculous powers to his (evidently Muggle) followers
- Controlling the weather
- The Virgin Birth
- The Feeding of the Multitudes
Did I mention that all of his miracles were done without a wand? I think wizards are basically in the same boat as Muggles: if they believe Jesus' miracles occurred as described, they think he is likely divine or otherworldly. If they don't, they think he was just a great man.
