I have heard that there was a water system built into Masada. Water cisterns two-thirds of the way up the cliff drain the nearby wadis by an elaborate water system, which explains how the rebels managed to have enough water for such a long time.
Yes, there are cisterns up there. Originally the fortress was built by King Herod. There is also a Roman-style bath house there --- A building with tiled tubs built above a furnace room where wood was burned to heat up the water.