No need to merely 'believe': read about him....
Matthew 11:13-15
13. For all the Prophets and the Law prophesied until John.
14. And if you are willing to accept it, he is the Elijah who was to come.
15. He who has ears, let him hear.
Matthew 16:13-16
13. When Jesus came to the region of Caesarea Philippi, he asked his disciples, "Who do people say the Son of Man is?"
14. They replied, "Some say John the Baptist; others say Elijah; and still others, Jeremiah or one of the prophets."
15. "But what about you?" he asked. "Who do you say I am?"
16. Simon Peter answered, "You are the Christ, the Son of the living God."
Matthew 17:9-13
9. As they were coming down the mountain, Jesus instructed them, "Don't tell anyone what you have seen, until the Son of Man has been raised from the dead."
10. The disciples asked him, "Why then do the teachers of the law say that Elijah must come first?"
11. Jesus replied, "To be sure, Elijah comes and will restore all things.
12. But I tell you, Elijah has already come, and they did not recognize him, but have done to him everything they wished. In the same way the Son of Man is going to suffer at their hands."
13. Then the disciples understood that he was talking to them about John the Baptist.
Luke 1:13-17
13. But the angel said to him: "Do not be afraid, Zechariah; your prayer has been heard. Your wife Elizabeth will bear you a son, and you are to give him the name John.
14. He will be a joy and delight to you, and many will rejoice because of his birth,
15. for he will be great in the sight of the Lord. He is never to take wine or other fermented drink, and he will be filled with the Holy Spirit even from birth.
16. Many of the people of Israel will he bring back to the Lord their God.
17. And he will go on before the Lord, in the spirit and power of Elijah, to turn the hearts of the fathers to their children and the disobedient to the wisdom of the righteous--to make ready a people prepared for the Lord."
James 5:17
Elijah was a man just like us. He prayed earnestly that it would not rain, and it did not rain on the land for three and a half years.