Approximately 4.6 billion years ago, the solar system was a cloud of dust and gas known as a solar nebula. Gravity collapsed the material in on itself as it began to spin, forming the sun in the center of the nebula.
With the rise of the sun, the remaining material began to clump together. Small particles drew together, bound by the force of gravity, into larger particles. The solar wind swept away lighter elements, such as hydrogen and helium, from the closer regions, leaving only heavy, rocky materials to create terrestrial worlds. But farther away, the solar winds had less impact on lighter elements, allowing them to combine into gas giants. In this way, planets, moons, asteroids and comets were created.
This theory is called the Big Bang Theory.