Short answer is, its really hard to naturally settle into a perfectly circular orbit. Imagine the process of going from zero planets, to multiple ones. Our sun starts by itself, surrounded by gas, dust, etc. That material is not evenly distributed, and slowly, one of the more dense regions coalesce to form a planet. For the sake of simplicity, let’s call that planet Ploopiter. Ploopiter has time to gobble up a lot of stuff and gets real big. So big, it’s gravitational influence pulls on the Sun, hard. Ploopiter is also going too fast for how big and close to the Sun it is and begins to move away from the Sun, where it eventually settles to a stable orbit. While that’s happening, Ploopiter gobbles up more stuff and gets even bigger. It’s so big now, the center of gravity between it and the Sun is a point in space slightly outside the Sun’s surface. Let’s call this point, Barry. Ploopiter and the Sun both now orbit Barry. Because this all happened while Ploopiter was moving out to a stable orbit, the Sun and Ploopiter have slightly non-circular orbits around Barry. Non circular = ellipse.
Now other planets form with whatever material is left. There isn’t much so they don’t get that big. They pull less on the Sun, so the center of gravity between our smaller planet and the Sun is nearly at the center of the Sun. But the sun is moving around Barry. Our small planet (let’s call it Erf) is also being pulled on by Ploopiter whenever they’re close. Erf can’t orbit the Sun in a perfect circle if both the Sun wobbles around Barry, and Ploopiter gives it a tug sometimes.
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