For Christians, it began one night in Bethlehem (Israel) with the birth of Jesus and, eventually approximately two to three years later, the visit of the wiseman
The earliest celebration of Christmas in the western Roman Empire has been dated to December 25, 336 A.D., although celebrations of the Christ child most certainly took place before then. The eastern part of the Roman world celebrated Jesus' birth on January 6 for many years, until eventually adopting the western date.
However, many of its customs and traditions have been adopted from the Winter Solstice (or Yule) which has been dated as early as 3200 bc. in Iceland as this quote shows from here:
It is not clear when humans realized what the solstice was and when it occurred. The Neolithic grave at Newgrange in Ireland, built c. 3200 BC (thus predating Stonehenge 3 I, dated to c. 2600 BC) is a solstice timekeeper: at dawn on the day of the Winter Solstice, the sunlight enters the central chamber through a special opening. It must have been a day of significant rituals.