The theory is that most mammals used to be marsupials a long long time ago. And at that time animals were able to get to what is now Australia either by walking or even swimming short distances. Over time the Australian continent moved further and further away from the mainland and the animals on it became isolated. The mammals in other parts of the world eventually began evolving away from being marsupials, while the animals in Australia remained that way, possibly due to lack of contact with humans until relatively late in their evolution.
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