do we know where supermassive black holes come from?
Astrophysicists believe that solar mass black holes originate from the collapse of the core of a star which has exhausted its nuclear fuel. You can find a lot of information about this in the popular book by Thorne, Black Holes and Time Warps.
The origin of supermassive black holes is currently a bit more mysterious. One school of thought is that they formed from the gravitational collapse of a huge glop of matter in a young galaxy. Another is that they formed from the collision of many smaller black holes. Why is it hard to say who is right? Well, even the statistical theory in Newtonian gravitation of many many gravitationally interacting bodies (as in the dense stellar globule) turns out to be quite hard (keyword: Vlasov equation). Only recently have theorists tackled the analogous relativistic problem (keyword: Einstein-Vlasov equation).
Graduate students interested in learning more can see this review paper at Living Reviews.
Separate names with a comma.