Praise be to Allah, and may peace and blessings be upon the Messenger of Allah.
Shaykh Abd al-Aziz ibn Baz, may Allah have mercy on him, stated that whoever denies matters authentically established from the Prophet ﷺ, after scholars have explained to him their authenticity, established the proof against him, and he nevertheless persists in rejecting and denying them, is considered a disbeliever; because rejecting the Messenger ﷺ regarding what is authentically established from him is rejection of what he brought.
Authentic hadiths have been established concerning the emergence of the Dajjal, the descent of Jesus son of Mary (peace be upon him), and the emergence of Gog and Magog. There are also authentic hadiths concerning the appearance of the Mahdi at the end of time, and that he will fill the earth with justice after it has been filled with oppression.
As for the Dajjal, Jesus (peace be upon him), and Gog and Magog, the Shaykh stated that reports concerning them have reached the level of mass transmission (tawatur). Therefore, denying them after the proof has been established is considered disbelief.
As for the Mahdi, the Shaykh stated that the reports concerning him have reached the level of tawatur according to a group of scholars. However, some scholars had reservations or uncertainty concerning certain details of these reports. For this reason, some scholars refrained from declaring a person who denies the Mahdi alone to be a disbeliever.
Nevertheless, the Shaykh stated that the stronger and more likely view is that one who denies the Mahdi is also considered a disbeliever, after the proof has been established against him and the authenticity of the hadiths has been made clear to him.
In summary: Denying these matters despite knowing that they are authentically established, and after the proof has been established and the evidence has become clear, is a grave matter and may constitute disbelief—particularly denial of the Dajjal, the descent of Jesus, or Gog and Magog. As for denying the Mahdi, there is scholarly disagreement and further detail concerning this matter.
And Allah knows best.