Correction. I have evidence that some of the Legendaries exist, in the form of eyewitnesses, plus first-hand experience of some of the phenomena they caused. But just because some of the legends are true doesn't mean they all are.

[Of course, they are, but Twilight's well known for playing it cautious.]

Anyway, the ones that I know to be real are Raikou, Entei, and Suicune, the three Legendary Beasts of Johto. There's a lot of information about them in Ecruteak city, but it might take a while for you to get there. Still, none of them are Psychics, so they probably aren't involved in us being here.