As a kid, we had a lot of "imaginary friends." We were an only child and never had many flesh and blood friends. Characters from books, comics, and movies were our regular conversation partners. We would also "imagine" conversations with real people, either actors or kids that we had a crush on. We did this for a long time, and eventually some of them became a permanent part of the system.
In the spring, one of the people in the system went to see if he could locate the world from a game that he had been extensively playing (Tales of the Abyss) and we ended up with someone from that world deciding to stay with us.
Otherwise, we're a multiple system with trauma and natural origins, people who've walked in from other places and worlds, and people we can't explain easily.