He meant his message of love, not Christianity- that word didn't exist at the time. Jesus was a Jew and taught as a Jew, but Jews weren't well-liked at the time (as, unfortunately, they have never been truly welcome anywhere since).

The first church was the church in Jerusalem, let by Peter and James, the brother of Jesus and consisted of Jews. "Christianity" came much later, well, not much later, but not before 70 AD.