If those people have accepted any other religion, then they have no stronger reason to accept what they have accepted compared to you, and instead you have something in hand that they don't, and that's Quran, the only miracle of the era of prophets PBUT that has been left to present. This is somewhat the reason why the prophecy ended after all: "وَ مَا أَرْسَلْنَاكَ إِلَّا كَافَّةً لِلنَّاسِ بَشِيرًا وَ نَذِيرًا وَ لَكِنَّ أَكْثَرَ النَّاسِ لَا يَعْلَمُونَ". This is also a correct reasoning against those who believe in no religion at all.
Also, you should think on how the validation of a historical proof is acceptable. To us, Quranic verses (if understood correctly), and Ahadeeth (if authenticate and again understood correctly) are touchstones by which to validate other historical claims, but they lack such books, all the books the historians have are accepted due to not having better more authenticate resources, not because we know they are correct, as far as I have understood. (albeit, there are other methods that historians use, but all are debatable, and religions are not the only histories one ca doubt if is skeptic enough)