Q. Who is the Wandering Jew?
A. A guy who refused to believe Jesus was actually God, and therefore was cursed in a rather pointless bit of sauce from the Messiah.
Q. Is this in the Bible?
A. Despite the many instances of silliness in the Bible, no. I suspect it's because to set up the idea of an immortal zombie man who could probably answer questions about things (assuming you don't mind speaking in Aramaic) would really stretch that "faith" thing a little thin.
Q. So where does this come from?
A. The same place the Pied Piper of Hamlin, Elizabeth Bathory and The Golem come from: The Middle Ages.
A. In the Middle Ages, people apparently believed anything, and there was a time before such things as "fact checks" and "cross-referencing", so somebody came up with the bullshit theory, and everybody took it and ran.
Q. Is it anything like The Eternal Jew?
A. No, that was invented by Hitler.