Now I am not one to psychologize Jesus. I have no idea who he actually thought he was. But I do know that his close followers thought he was some kind of Messiah - be it a prophet, a king, or a priest. The question in scholarship has always been whether this perception of Jesus originated before or after his death, and much of the literature since Wrede's Messianic Secret has leaned toward after his death.
I'm not convinced. The way I reason through this problem is this: the criminal death of Jesus was a serious obstacle to the proof of his Messiahship. The Christians spend a lot of time explaining in their writings how it is that the Messiah would suffer and would be killed in the worse way possible, a death cursed by the law. And by in large their explanations did not convince very many Jews. So to develop Jesus into a Messiah figure after his criminal death doesn't make as much sense to me as trying to reinterpret the traditional Messianic expectations to fit new historical circumstances. This is what we would expect, in fact, given what we know about social memory formations. They take previously held expectations that are not fulfilled and shift them in such a way to make them conform to the historical reality and experiences of the community.
So I think it is very reasonable to think that a third impulse to create the Christology that the first Christians did was that their original expectations of Jesus while he was alive were not met in his death. In other words, the expectation of the Jesus movement prior to his death appear to have been that of a more traditional Messiah - likely some type of prophet-king - and when he did not fulfill that role, but was executed instead, they literally had to go back to the drawing board and reconfigure their thinking about who Jesus was in order for their movement to continue.
They did this by returning to their scriptures. But more on this in the next post.