In the scientific world-view, we could say it began with the big bang. Where did it come from? What was before the big bang? We don't know yet. And, if our theories ever predict what was before the big bang, than what caused that thing? What was before that? This line of reasoning will also never end. You can always ask another why.
At one point every explanatory model, a so called "theory of everything", has to be granted it's one free and unexplainable variable from which the theory can then explain everything else.
Now it gets interesting. Once it is understood, that we will always have one fundamentally mysterious and unexplainable event that "caused" everything or with which everything can be explained.
In the scientific world-view there is a physical universe outside of ourselves, which needs to be explained and it should have started with the big bang. In the religious world-view there is also an independent outside world and it was created by god.
What do both of these have in common, making them a very risky model to base our world-view on?
They are both events for which we, in our own experience, have no direct evidence. Where is the big bang or god? Do they really exist? No. Not more than any other idea. They might be true, but we have to say that we do not know. If we could see visions of god or the big bang, does that proof that those visionary impressions of ours had anything to do with creating the whole thing? We can never know.
The thought of a physical, material world outside of our perceptions is already a believe. Empirically we can never know this. Postulating this and then trying to explain all of reality on that underlying, unspoken assumption is never going to be successful. Science is hiding it's most basic assumption from us. The assumption that there is an underlying, independent physical universe. Science, in the field of quantum physics, has also already shown that everything is based on consciousness.
The moon really is only there when we look at it.
So it would be wise to base our explanation of the world on something we know for sure, 100%. What is it, that we unmistakably know for sure? Imagine you had an accident and all your sensory inputs would be wiped out. Imagine that that accident even wiped out your ability to think. What would be left? What could you still know for sure? If the world does not exist anymore, what remains?
I am conscious. I am. I exist. Could anything else ever be known for sure? Everything else arises within consciousness. But it is possible to explain everything from this knowledge:
If this interests you, I can really recommend you read Bernardo Kastrup's book: "Brief Peeks Beyond".