Demons have been around for as long as anyone can remember. From the beginning of human records there have always been demons tormenting them having said to crawl out of the underworld. Then the angels descended and waged a long bloody war with the demons. This war took so many human lives and became so brutal that the Lord of the seas Neptune himself appeared to stop it. Eventually the two sides reached a compromise, if the war stopped then the Demons and Angels could hold a tournament in the limbo realm known as purgatory. This tournament is still unknown to humans and only known to these two sides and is the only reason the Demons and Angels are at a semi peace.
Origins are unknown to humans but the way demons are conceived is not as complex as other life forms. They are spawned in the underworld fully grown and in a conscious state. They then just climb a ladder out of the Underworld of they want to reach the surface. This in turn looks like the demon crawls directly out of the ground.