The Balrogs originated as Maiar,  the same as Sauron himself. Primordial spirits of fire that allied themselves with Melkor in ancient times , they became the most feared of Melkor's servants, especially the wars of Beriland in the First Age. There are probably no more than seven. Before the First Age, Melkor corupted Maiar into his service in the distant past of the world, in the days of his splendor.  They were originlly gatherd by him in his ancient fastness of Utumno during the time of the lamps of the Valar. When this fortress was destroyed by the Valar, at least some fled and lurked in the pits of Angband (whether any of the origenal Balrogs were slain in the Valar's attack on Utumno is not known. In the First Age when Melkor and Ungoliant escaped from Valinor three ages later with the Simarils, the Balrogs were still to be found in the ruins of Angband. Unigoliant  trapped Melkor in her webs demanding the Simarils for herself, but the Balrogs issued from their hiding-place and rescued their lord. The Balrogs were aparently first encounterd by the elves during the Dagor-nuin -Giliath in the first year of the First Age. After the great victory of Noldor over Morgorth's Orcs, Feanor died of his wounds soon after, and his spirit departed for the Halls of Mandos.