There is plenty of evidence it is just difficult to find. When you fully understand what happens during the inter glacial periods, you will understand why the evidence is not as obvious as stone pyramids. Just about every human made structure on our planet will be destroyed soon. Primarily due to catastrophic flooding. Take a good look at the planet and what do you see ? Water. Lots of water. In the past 2.5 million years we have been through roughly 50 interglacials.
We do have crust going back 3.7 billion years which contains evidence of the atmosphere and climate. It would not have been a pleasant place for any but the primitive life form that have left their fossils and other evidence.