There are two instances when it happens:
– Inside of the Sun (now). The Sun consists of hydrogen and helium. When the temperature and pressure are high inside of the Sun, two atoms of hydrogen and one atom of helium move together and fuse into one atomic nucleus, and thus they generate energy. Energy gets released then, hence the warmth of the Sun in space.
– In the Universe (in the Era of Nucleosynthesis), during nuclear synthesis. The same happened in early history of the Universe. Earlier there were more collisions (as a function of temperature), so not only helium was created, but also lithium, beryllium and barium. It lasted from 0.001 to 3 min.
Because fusion exists inside of the Sun, and started right after Big Bang in the space, the world looks the same: it has hydrogen and helium.