No but he did say that he was the final prophet from God. And that Jesus was another prophet before him, not the son of God.

Who should I believe? And why?

Krishna (who is the Hindu equivalent of Jesus) said that He was God incarnate. He said many lovely things just like Jesus. He performed miracles just like Jesus. He was born to a virgin, just like Jesus. He wasn't crucified like Jesus, but how does the fact that Jesus was crucified prove that He was God?

http://en.wikipedia.org/wiki/Bhagavad_Gita