The first clear use of the term Palestine was in the 5th century BC to refer to the region between Phoenicia and Egypt. Herodotus, the Greek historian (484-485BC) wrote of a 'district of Syria, called Palaistinê'. Aristotle, a century later, refered to the same region as Palestine in his 'Meteorology'.
Palestine dates back to about 3000 BC, and for 1900 years (between 3000-1100 B.C.) it was the land of the Canaanites. Throughout this period, the Egyptians occupied it until 1200 BC when the Philistines took it over. They were followed by the Israelites (1000-923BC: 77 years), the Phoenicians (923-700BC), the Assyrians (700-612BC), the Babylonians (until 539BC), the Persians (until 332BC), the Macedonians (until 63BC), the Romans (until 636AD), the Arabs (636-1200: 564 years), the Crusaders (1099-1291), the Ayubiyyin (1187-1253), The Memluks (1253-1516) followed by the Ottoman rulers (400 years) until 1917 (the year of the Balfour Declaration). The British Mandate took over in 1919 and took effect in 1922.
From this chronology, it is clear that the Jewish Kingdom was only one of many which settled in the land of Palestine. The country became predominantly an Arab (and Islamic) country towards the end of the 7th Century. In 1516, it became a province of the Ottoman Empire with a rich mix of Arab (Muslim and Christian) and Jewish cultures; these people believed themselves to belong to a land called Palestine.
According to Illene Beatty, a well-known archaeologist, "the extended kingdoms of David and Solomon, on which the Zionists base their demands, endured for only about 73 years...then it fell apart...Even if we allow independence to the entire life of the ancient Jewish kingdoms, from David's conquest of Canaan in 1000 B.C. to the wiping out of Judah in 586 B.C., we arrive at [only] a 414-year Jewish rule".
When colonial states and empires eventually disappear, sovereignty becomes the natural aim of the indigenous people of the land. Where colonialism refused to let go, national wars of liberation took hold until independence was achieved. In places where the population, through brute force, was annihilated or ethnically cleansed by the occupying communities, the latter became the new nation states (as did happen in the Americas and elsewhere).
In the Middle East, after WW1, the victorious Allies divided the region into mandated states between the French and the British. These mandated states, under the guidance of the League of Nations, eventually evolved into nation states as their Mandate periods came to an end.
Except, of course, for Palestine.
The external perception of why this happened to Palestine differs greatly from the internal perception of the Palestinians themselves.