Where do my thoughts come from? You can answer "your brain of course!" But that tells me next to nothing at all; that's saying the earth is in the universe but nothing about where the earth came from or how the earth works. Thoughts appear to emerge spontaneously from nowhere within “my brain”.
Why can't I know where and how my thoughts emerge? Thoughts are created by a process; like music, they emerge from nothing, exist for a while and then fade to nothing. Within this process thoughts are incessantly effects (i.e. a sound) created by some cause (i.e. a musical instrument). Therefore, if we try to think about the cause of thought, the thought itself is an effect of that causal process and as such cannot access its cause (i.e. the sound cannot turn into the instrument).
Thinking is like eating a cake (effect) without knowing the ingredients and process that creates it (cause). Therefore, we live with the fundamental uncertainty of where we come from. Most people find shelter from this uncertainty in religion and find great comfort in saying, “God created me”. However, the question must follow, “but where did God come from?” God is a thought and therefore an effect and cannot be the cause of thought. Only unthinkable things can be the cause of thought.
Even in our shelter we are still uncertain. I say learn to live with this uncertainty; there are things we can never be sure about. For instance, there is no way to be certain about my future with Parkinson’s disease. The effect of the process of thinking (i.e. thoughts) cannot occupy the future because they are caused in the present. We can think about and plan for the future but this plan is still thought of in the present.