The good historians or archaeologist study the past objectively. That means that they explore past events without any preconceived notions of what they expect to find. Even the best of historians need tools or sources to study the past. It is much easier for historians to study events that have been written about. Historians use three basic sources for the understanding of the past. First is the primary source, or first-hand accounts. The primary source is recorded or written by somebody that has witnessed the event or actually participated. Primary sources can include letters from soldiers, video recordings of events and speeches.
Another tool that historians use is the secondary source. Secondary sources are created after the event by somebody that was not involved in the action. Secondary sources can include newspaper reports, books, or artwork. Secondary sources are not as valuable because they can contain bias and are written by individuals that did not participate directly in the event.
An even less reliable source that historians use is the oral history. Oral histories are unwritten sources of information that are passed down by word of mouth. Some oral histories have been transmitted for centuries and may evolve over time.
For information on how archaeologist study the past, please check the link provided as this is a different question entirely.