You are referring to John 5:46-47
46 For if you believed Moses, you would believe Me; for he wrote about Me. 47 But if you do not believe his writings, how will you believe My words?”
There are several messianic prophecies that were known to the pharisees and specifically Isaiah 7:14, which states that the messiah will be called Immanuel or "God with us".
14 Therefore the Lord Himself will give you a sign: Behold, the virgin shall conceive and bear a Son, and shall call His name Immanuel.
The pharisees didn't believe Jesus was himself God in the flesh. Using Isaiah 7:14 and the miracles they saw, they should have known and believed Him when he said he was the Son of God and the great "I AM"
Then they all said, “Are You then the Son of God?” So He said to them, “You rightly say that I am.”
Jesus said to them, “Most assuredly, I say to you, before Abraham was, I AM.”
Here are some of the verses He was talking about:
Genesis 3:8 And they heard the voice of the Lord God walking in the garden in the cool of the day: and Adam and his wife hid themselves from the presence of the Lord God amongst the trees of the garden.
Then the Lord appeared to Abram and said, “To your descendants I will give this land.” And there he built an altar to the Lord, who had appeared to him.
When Abram was ninety-nine years old, the Lord appeared to Abram and said to him, “I am Almighty God; walk before Me and be blameless.
Then the Lord appeared to him by the terebinth trees of Mamre, as he was sitting in the tent door in the heat of the day.
Then the Lord appeared to him and said: “Do not go down to Egypt; live in the land of which I shall tell you.
And the Lord appeared to him the same night and said, “I am the God of your father Abraham; do not fear, for I am with you. I will bless you and multiply your descendants for My servant Abraham’s sake.”
And he built an altar there and called the place El Bethel, because there God appeared to him when he fled from the face of his brother.
Then God appeared to Jacob again, when he came from Padan Aram, and blessed him.
Then Jacob said to Joseph: “God Almighty appeared to me at Luz in the land of Canaan and blessed me,
And the Angel of the Lord appeared to him in a flame of fire from the midst of a bush. So he looked, and behold, the bush was burning with fire, but the bush was not consumed.
Go and gather the elders of Israel together, and say to them, ‘The Lord God of your fathers, the God of Abraham, of Isaac, and of Jacob, appeared to me, saying, “I have surely visited you and seen what is done to you in Egypt;
Exodus 6:1-2 Then the Lord said to Moses, “Now you shall see what I will do to Pharaoh. For with a strong hand he will let them go, and with a strong hand he will drive them out of his land.”
2 And God spoke to Moses and said to him: “I am the Lord. 3 I appeared to Abraham, to Isaac, and to Jacob, as God Almighty, but by My name Lord[a] I was not known to them.
a. Hebrew YHWH, traditionally Jehovah