Jesus didn't come to defeat the oppressive Roman empire with weapons of violence.
Instead, Jesus came to conquer the underlying issue—the sin of humanity that had been leading them astray since the Tower of Babel. Jesus took on the full power of sin and evil when he died on the cross, allowing evil to fully overcome him only to defeat its only weapon, death. In doing this, Jesus gave his followers power over sin and death through the forgiveness that he offered.
But evil still exists in our world, and Jesus promised to return for the final Day of the Lord. This is the Day of the Lord that the book of Revelation talks about, where Jesus will return and destroy evil completely, freeing our world from corruption and bringing about the good and perfect world that God had planned for us from the start.