The first-century book of early church history, the Acts of the Apostles, mentions that the first Christians had called their movement:

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The book of Acts refers to the early Christian movement as "the Way" multiple times (Acts 9:2, 19:9, 19:23, 22:4, 24:14, 24:22). This name likely referred to the followers of Jesus as those who followed his teachings and example, as well as to the belief that salvation came through him as the way to God. The Acts of the Apostles mentions that the first Christians had called their movement "the Way."

The First-Century Book of Early Church History, the Acts of the Apostles