Gold and almost all other heavy elements on earth were created in stars (or more exactly probably in the explosion at the end of life of a star) out of lighter elements.
Basically you can combine two light atoms to create a new heavier one. For example our sun puts two hydrogen atoms together to form helium, and you even get energy from it, what makes our sun so hot and glowing.
Similar things work to create heavier atoms like gold, but that require energy instead of releasing energy.
We can do this conversion of one element into another ourselves on earth using nuclear reactors or particle accelerators. We could even convert lead to gold. However that requires so much energy and is so expensive that it is not worth it, as any gold created like this would be more expensive than any gold we can find naturally.
Therefore we only use this to make atoms which don’t occur naturally (as they are radioactive and unstable). These can be special variants of natural occuring elements or even new elements which don’t exist on earth naturally at all.
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