It comes from lots of different sources depending on the kind of radio energy you are talking about.
Astronomers recognize four basic types, each produces under different astrophysical conditions.
Line Emission Atoms in interstellar space and in distant clouds radiate spectral lines in the radio and microwave spectrum. These are also the first components we detect when we look at other galaxies, especially the bright hydrogen line in other spiral galaxies. Thermal Emission Any object that is hot, radiates a spectrum of energy. Stars are hot enough that their black body or 'Planck Spectrum' should be detected at radio wavelengths, but most are probably too weak to be detected above the din of other sources especially in the interstellar medium. Whenever you have electrons in a plasma colliding with atomic nuclei, the electrons can be powerfully accelerated to produce electromagnetic radiation.