Easy answer would be from a female's ovary.
https://en.wikipedia.org/wiki/Evolution_of_sexual_reproduction#Origin_of_sexual_reproduction
It appears there are quite a few theories about that.
"I think the answer is that a circle has no beginning." - Luna Lovegood.
The Bible mentions in Genesis 1:20
And God said, “Let the water teem with living creatures, and let birds fly above the earth across the vault of the sky.” 21 So God created the great creatures of the sea and every living thing with which the water teems and that moves about in it, according to their kinds, and every winged bird according to its kind. And God saw that it was good. 22 God blessed them and said, “Be fruitful and increase in number and fill the water in the seas, and let the birds increase on the earth.”
Chickens do in fact fly, just not very far or well. Of course the chickens we have today have been engineered to be that way.
Eggs evolved long before chickens evolved