The Sonic movies have established that the speedy anthropomorphic animals saving the world are aliens from other planets. It was eventually revealed in Shadow the Hedgehog that Shadow has some alien DNA in him in the games, but he was initially presented as a creation made by humans when he debuted in Sonic Adventure 2. Sonic 3 fully commits to the alien backstory, revealing that he was found 50 years before the events of the film when a mysterious meteor landed on Earth. The GUN forces who investigated found Shadow inside and began running experiments on him in a hidden facility on Earth, rather than the Space Colony Ark orbiting the planet seen in the games.
Shadow’s backstory in the games is a bit more complicated, to the point where I’m not surprised they simplified it for the film’s shorter run time. In Sonic Adventure 2, Shadow is revealed as an invention by Gerald Robotnik, Eggman’s grandfather. The hedgehog was meant to be the Ultimate Lifeform, capable of unlocking the key to immortality. In Shadow the Hedgehog, it’s revealed that, in desperation, Gerald made a deal with an alien despot called Black Doom, who used his own DNA to help the professor finalize Shadow’s creation. In return for Black Doom’s help, Shadow would assist the Black Arms alien invaders take over the world. Shadow doesn’t know where he came from in Sonic 3, so it’s still possible that the Black Arms will play a role in a future film as his origins are revealed, but Gerald Robotnik didn’t create him in this continuity; he merely led the project that researched him after he fell to Earth.