Where did they come from?

The simple answer is probably all up and down the North Sea coast, from Denmark and from the northern coasts (in modern terms) of Germany, the Netherlands, and France.

The more famous answer is that of the eighth-century Northumbrian monk Bede, who wrote an Ecclesiastical History of the English People in 731, and put it like this (Ecclesiastical History, i.15):

They came from three most powerful Germanic tribes, the Saxons, the Angles, and the Jutes. Of Jutish origin are the people of Kent and of the Isle of Wight, and the part of the kingdom of Wessex opposite the Isle of Wight, still called the nation of the Jutes. From the Saxon land, that is the place which is now called Old Saxony, came the East Saxons, the South Saxons, and the West Saxons. From the Anglian land, that is the place between the realms of the Jutes and the Saxons which is called Angulus, and remains deserted to this day, came the East Angles, the Middle Angles, the Mercians, and all the Northumbrian peoples, that is, those who dwell north of the river Humber, as well as other Anglian peoples.

This looks very neat and tidy, but towards the end of his History (v.9), Bede gives another and a more inclusive list:

He knew that there were many nations in Germania from whom the Angles and Saxons, who now live in Britain, get their origin ... There are the Frisians, Rugians, Danes, Huns, Old Saxons, and Boructuari.

"Germania" here means not just modern Germany, but (from a Roman point of view) all of northern Europe, settled by barbarian Germanic tribes. The Boructuari were Franks, and we have other evidence for earlier Frankish interest in Anglo-Saxon affairs; the Byzantine historian Procopius writing in the sixth century had heard that Britain was divided between Angles, Frisians, and Britons.

To sum up, the Saxons (from Saxony) and the Angles (from between Saxony and Denmark) were probably the main force behind the invasion -- at any rate, they ended up in charge in Britain. The Jutes, Frisians and Franks were also clearly involved, and there were probably lots of other tribes long since lost to history.