Thanks, Mr. Donis!Nobody knows. We don't even know that anything is actually happening that needs to be caused. Different interpretations of QM tell different stories about this, but there is no generally accepted answer.
An example of "natural" entanglement would be 2 electrons in the same atomic shell. One is spin up, the other is spin down, but otherwise they are indistinguishable. They are entangled.Thanks, Mr. Donis!
Aside from being entangled artificially, how do particles become entangled naturally?