First you have a thought. Then you have a manifestation of the thought...appearing as a physical something or other.

One possibility. ;-)

But now I hear you asking, "Yeah, but who or what thought that thought?"

Good question. I do not have the answer, because I'm only one cell in the jellyfish, and if you were to ask any one cell in the jellyfish to explain the entire jellyfish, it probably wouldn't have any idea even how to begin.

Then too, there's the ocean around the jellyfish...and what lies beyond the ocean???

Just accept the fact that you will never know and be calm with it. There's a great deal we will never know.