There are fossils mapping the evolutionary history of life in brilliant detail, from all over the tree of life.
Pick anything that leaves good fossils, like an animal with a skeleton, and there's a rich fossil record showing its evolution.
Doing comparative anatomy of fossil specimens, cataloging their traits, you can build cladograms, and find the most parsimonious arrangement.
Doing so matches the cladograms built by heaps of other independent methods of investigation, like ERV codes in genetics, and comparative anatomy in extant species.
Having so many independent fields of investigation converging on the same answer greatly reinforces that the cladogram we've found is the phylogenetic tree, the common ancestry family tree of life.