They come from comets. Most comets stay in the outer part of the solar system and chill (literally: it’s cold out there): they live in a place called the Oort Cloud.
Occasionally, two comets out in the cloud get close and one gets flipped into an orbit that takes it close to the sun. Comets are like giant snowballs full of grit, so they melt when the sun heats them up and leave a trail of gas and grit along the path of their orbits. The gas and dust near the comet is its visible tail, but there’s more grit all along the orbital path.
Now, a comet that goes near the Sun is moving at maybe 100 km per *second* and the earth is moving in its orbit at 30 km per second across the comets path. If the two met there would be a horrendous explosion, bigger than a nuclear bomb (think: death of dinosaurs), but space is big and more often Earth just goes through the dust trail.
That means that tiny grains of dust are hitting our atmosphere very fast as we cross a comet path. Even though they are smaller than sand grains on a beach, they have a lot of energy because they move so fast. Slowing down in the atmosphere very quickly releases that energy as a burning streak, and that’s what’s called a “shooting star”. It’s not really a star at all, just a dust grain burning up.
There are some comet trails that the Earth crosses every year, and these make meteor showers on the same day each year. You’ll see these in the news sometimes.