I plan on covering this further in Papi’s blog, but I’ll talk about it here.

The first changeling came about from a failed attempt to create an alicorn, before the time of Luna and Celestia.  The attempt led to a conjoining of pony and parasprite in the mother of all changelings, who was VASTLY different from those around now.  Most all of what makes a changeling came from rapid evolution from that point.