Joshua - Chapter 2

"Then Joshua secretly sent out two spies from the Israelite camp at Acacia Grove. He instructed them, “Scout out the land on the other side of the Jordan River, especially around Jericho.” So the two men set out and came to the house of a prostitute named Rahab and stayed there that night."

We are introduced here to a Gentile woman living in Jericho, and it is hard, at this point, to see how this woman could possibly have anything to do with Jesus.  However, when you read Jesus' genealogy in Matthew 1 you see Rahab listed:

"Salmon was the father of Boaz (whose mother was Rahab). Boaz was the father of Obed (whose mother was Ruth). Obed was the father of Jesse. Jesse was the father of King David."

She was the great-grandmother of Jesse - who was the father of King David.