Asteroids
Some meteorites are tiny asteroids that formed billions of years ago at the creation of the solar system and have been orbiting the sun ever since. They occasionally fall to Earth as meteorites. Asteroids are rocks between a few centimeters and several miles long across that orbit the sun.
Comets
Some meteorites have been identified as fragments of the rocky cores of comets, which are predominantly icy bodies that orbit the sun in large highly elliptical orbits. Comets can be identified by their distinctive "tails" in the night sky.
Collisions with Other Bodies
Sometimes an asteroid or comet will strike Earth's moon, and the impact will throw up other material. This material can later fall to the Earth as meteorites. This process can occur with other planets, like Mars, as well as with the moon. As such, some meteorites are in fact fragments of other planets or of the Moon.