Amanda, your post should have be written as such:

"I love Jesus. He is my hope, my confidence... Do you know that He loves you?"

I removed the my after the sentence "I love my Jesus" because of that fact that you cannot have ownership of Jesus, and thus, he cannot be yours.

I capitalized the "H" in he on the sentence "Do you know that He loves you" because when you are referencing a Biblical-related quote and a pronoun is used for God, Jesus, etc. you have to capitalize that pronoun.