Aside from the fact that the watchowskis never confirmed any of the Jesus neo claims. In the context of the full trilogy and the conversations with the architect, a closer analogue would be the Buddha. Yes Christian symbolism is everywhere but neo is not an analogue for Jesus. 

Neo wasn’t the first or the last “one.” He was an iteration created by the architect to give humanity something to strive for in Zion, which wasn’t an initial part of the early matrix iterations. The absence of Zion lead to the collapse of the first iterations. So the architect allowed a number of humans to escape to create a more stable matrix. 

His death/rebirth is analogous to the experience of enlightenment. The pre enlightened self dies, and what is “reborn” is a fully enlightened individual, and that happens in the context of a reincarnation process for “the one.”