From Sahih Muslim (Hadith 2658):
Ibn'Abbas (Allah be pleased with both of them) reported that the Messenger of Allah (ﷺ) arrived in Medina and found the Jews observing fast on the day of 'Ashura. The Messenger of Allah (ﷺ) said to them:What is the (significance) of this day that you observe fast on it? They said: It is the day of great (significance) when Allah delivered Moses and his people, and drowned the Pharaoh and his people, and Moses observed fast out of gratitude and we also observe it. Upon this the Messenger of Allah (ﷺ) said: We have more right, and we have a closer connection with Moses than you have; so Allah's Messenger (ﷺ) observed fast (on the day of 'Ashura), and gave orders that it should be observed
Reference: Muslim 2658