Yes, repeatedly Jesus assured them that although He would be put to death by His enemies, He would come back to life by the power of God. On one occasion, He told them, "We are going up to Jerusalem, and the Son of Man will be... mocked and flogged and crucified. On the third day he will be raised to life!" (Matthew 20:18-19).
And yet they apparently didn't understand what He was telling them -- and didn't even ask Him to explain it. When Jesus was put to death, therefore, they completely forgot what He had promised and were overcome with sorrow and discouragement and fear. Perhaps they hoped Jesus would become a king, uniting the people and driving out the despised Romans who had occupied their country. His death, however, brought an end to those hopes.
But what He had promised came true -- and on the third day following His death the tomb where His body had been laid was empty. More than that, He appeared repeatedly to His disciples and demonstrated beyond all doubt that He had been raised from the dead. The angel's words were true: "Why do you look for the living among the dead? He is not here; he has risen!" (Luke 24:5-6).
It's easy to criticize the disciples for failing to believe Jesus' words, but how often do we fail to believe the promises God has given us in His Word, the Bible? Ask God to open the eyes and ears of your soul, that you may come to know His promises and put your trust in them every day. Remember: "He has given us his very great and precious promises" (2 Peter 1:4).