The big bang is a theory. There is the background electromagnetic noise and observable expansion, but supporting evidence does not equal proof.
And right you are! There are other theories such as the one that says the Universe has no beginning or end, or M Theory (String Theory) that says perturbations of the megaverse causes new universes to explode into existence and fizzle out like fireworks. We really have no idea how the universe works; we're like infants trying to explain our own existence with toys as our only tools. Our only real tool is mathematics, which explain quite a bit, but not enough to unify the five fundamental forces into a theory of everything, which is where the craziness of our understanding comes from.