incredible, incredulous

Incredible or incredible describes something unbelievable, as in difficult to believe; impossible--
He told a long-winded and incredible tale of his youthful adventures.
That's an incredible story; no one will believe it.

Incredulous or incredulous describes a person unable to believe, or refusing to believe, something--
He declaimed his innocence, but the judge was incredulous.
She remained incredulous, even though he added convincing details to the story.

Now that you know that, you can say--
"The story was incredible, and we were incredulous."