W-2's or 1099's and possibly pay stubs.
Most legit lenders aren't going to take bank statements as proof of income. You have to prove you have a steady income and are making money, legally. Laundered money, cash under the table, gambling profits - none of this can be used to validate income when buying a home or vehicle or applying for credit.
If you can't show income from it, it's not a job. If you want to build credit, you need to have a legitimate income that can be backed by a paper trail, either W-2 or W-4 employee receipts, or business income statements
You should be reporting you income on your tax return. A bank will want to see copies of your returns for at least three prior years to consider you for a loan.
Your tax returns may suffice.
Self-employed persons generally have to show 3 years of tax returns to get any sort of loan.
Self employed and two referees is enough proof for them.
"Self-employed" is all you need to say. You can show them bank statements to prove your income.