From Sahih Muslim (Hadith 2656):
Ibn Abbas (Allah be pleased with both of them) reported that when Allah's Messenger (ﷺ) came to Medina, he found the Jews observing the fast on the day of Ashura. They (the Jews) were asked about it and they said:It is the day on which Allah granted victory to Moses and (his people) Bani Isra'il over the Pharaoh and we observe fast out of gratitude to Him. Upon this the Messenger of Allah (ﷺ) said: We have a closer connection with Moses than you have, and he commanded to observe fast on this day
Reference: Muslim 2656