The word Jew is rooted in the name "Judah". Judah was one of Jacob's 12 sons and he was the father of one of the 12 Tribes of Israel.
About 26 centuries ago, ten of the Tribes of Israel disappeared into exile. Only the tribes of Judah, Benjamin and the Levites remained. Since Judah was the preeminent tribe, the land was known as "Eretz Yehuda," or Judea, and the remaining Israelites were called "Yehudim," Jews.
One of the earliest appearances of the word "Jew" is in the Book of Esther, in which the hero is referred to as "Mordechai Hayehudi," Mordechai "the Judean" or "the Jew." (Book of Esther 10:3)