Time travel is a major staple is sci-fi. You just can't escape it. Sometimes the characters travel so far back, that if or when they tell locals that they are from the future, I'm skeptical that the story writers have the locals' reactions correct. I'm under the impression that the concept of time travel is relatively new. For example, would Socrates understand being told "I'm from the future"? What about George Washington? Maybe the answer is best found by finding who first talked about time travel. For the times before time travel was understood, how would you explain you're from the future, and not confuse that with some kind of declaration that you are a seer or prophet?
The first known instance of knowledge of the future being transported to the past (rather than a figure in the present seeing the future through clairvoiance) is likely the 1733 Memoirs of the Twentieth Century, which depicts a man receiving a series of memos written by an ambassador from the far future year of 1997-1998! These letters were given to him by an angel who did not discuss the method the angel recieved the memos from.
Perhaps the most famous fictional example is that of the Charles Dickens Classic, "A Christmas Carol" (1843) in which Scrooge is transported to his early life and to his later life... or... well... no longer life.
While these are supernatural, the first physical machine created and controlled by a man to traverse time was H.G. Well's "The Time Machine" (1895) Though there is a Spanish story that is about 12 years older.
With all that said, the idea of a visitor from the future appearing in the past is not unheard of going far back, though if the locals find this idea to complex, one could try and tell them that you are seer blessed with the gift of future sight and have dressed in the manner of men in the coming ages? Then have someone say "like that story we had about the guy from 1997?" alluding to a oral traditional story that was lost to time... Though this seems to be a Dr. Who style gag more than anything.
Anyone with experience of the past and the future will intuitively understand the concept of being 'from the future.'
The answer will be yes. We experience and understand 'yesterday, today, tomorrow.' We sometimes dream about being in another place or time. We experience deja-vu. The idea of psychic ability, clairvoyance, and so on, is deeply attractive to many of us. Many religions have certain 'impossible' tenets.
Human cognition has no difficulty with the bizarre.
Also, only a very small percentage of people in our present are familiar with time travel stories. Very few people think about time travel, being more concerned with other more basic facts of living. Yet these people would be able to understand the idea, we presume. Each of us who are familiar with the concept was introduced the idea at some initial point, and probably thought, 'Whoa. Cool." Not "Wait, what? I don't get it." (although perhaps the response is a mix of those two things.)
In point of fact, the ability to believe in what is not logical (such as time travel) is evolutionarily selected. There is an entire field of study on pattern recognition, survivability, and illogic in humans. If the science is to be believed, we'd not be here without the evolutionarily selected ability to accept (and believe that we understand) the impossible.
Examples abound. Belief in deities is alive and well, for example, and believers will tell you how they know this to be true. Our ancients were made of the same stuff as we are, and it stretches belief to think that they'd not have the same proclivities.
Here is one link on the evolution of ready acceptance of the improbable, but a search in Google Scholar easily pulls up many, should that link cease to work.
From the link:
Our brains and nervous systems constitute a belief-generating machine, a system that evolved to assure not truth, logic, and reason, but survival. The belief engine has seven major components.
Now, it may well be that authors don't capture well the response of ancient peoples to a time traveller - but this is a writing problem. I suspect the ancient peoples themselves think about life in philosophical ways including how to escape place and time. Just as people today do...
Conceptually, they'd have no problem grasping the concept. After all, think of religions: "Do this/don't do this and you'll be punished/rewarded" depends on people understanding that doing things will have future consequences for them, which depends on understanding the concept that the future is a "real place" that will be experienced and have people there. If a place is real and has people there, that means, at least in theory, people from there can come here.
And time travel isn't a recent concept. Assorted myths have people traveling forward in time, being taken to a place where time runs differently before being returned to the normal world. Traveling backwards is a more recent invention, but then thinking of time as cyclic, as many cultures did, simply means you've traveled long into the future to arrive in the past.
The tale of Urashima Tarō could easily be the result of someone who has traveled at relativistic speeds such that he returns home 300 years later.
That would be an example of someone who travels "to the future".
"From the Future" would require a similar tale for the person to understand.