Some things in video games are never questioned. Like, for instance, why mushrooms make Mario big, how a fridge can fit in your pocket in Animal Crossing or the fact that Sonic the Hedgehog is blue. However, that doesn't mean that some of them don't have secret origins though. Sonic's iconic blue hue is one such case, and that secret origin is intrinsically linked with that of his nemesis.
The truth was revealed in "The Origin of Sonic" from Sonic the Comic #8 by Nigel Kitching, Richard Elson, and Elitta Fell. The Blue Blur decided it was time his friends learned the truth about the evil Dr. Robotnik, so took them to the Special Zone, the location of Sonic the Hedgehog 2's special stages, where they met the Omnipotent Omni-viewer. Think Marvel's the Watcher but for Sonic - and also he's a giant TV screen. Omni (as Sonic calls him) tells them the truth about Eggman's origins, knowing full well they are Sonic's as well.
Originally, Sonic was just a regular hedgehog with a natural brown color to match. Everything changed when he stumbled into the laboratory of Dr. Ovi Kintobor. The kind scientist explained to the young hedgehog that he was working on a device that would rid Mobius of all evil. This plan required the seven Chaos Emeralds, as most grad schemes on Mobius do, and Kintobor had already transferred most of the evil on the planet into the first six. However, without the seventh, his dream could not be completed.
Sonic decided to help Kintobor find the seventh Emerald using his amazing speed. The scientist was so fascinated by the hedgehog's gift that he just had to run tests on him. He even created the iconic red and white sneakers to reduce the hedgehog's friction while running.
Kintober also created a device called the Kinetic Gyratoscope, which looked like a big hamster wheel, to increase Sonic's speed. However, his speed increased so much while he ran on the device that it was too much for it to handle. When he broke the sound barrier, the sonic boom destroyed the machine. The resulting explosion fused Sonic's spines together, giving them their iconic look, and turned him from that natural brown into his iconic blue.
Sonic still stuck around after that incident though, stating that Ovi Kintobor was a really good guy. Unfortunately, tragedy struck from the most innocent of circumstances. Growing hungry, Kintobor went to the fridge for food but found the only thing left inside was a rotten egg. Sonic, quite rightly, found the egg disgusting, but the good doctor thought it could be salvaged. As he went to get some salt, he tripped over a wire and he, along with the egg, fell into his evil-collecting machine. All of the evil that had been collected left the six Chaos Emeralds and went into Kintobor and the egg, fusing them into the abomination that was Dr. Ivo Robotnik - the Eggman.
As bizarre as some of this story is, there's a tragic note to it all. Both Sonic and Eggman were present for the creation of the iconic figures they are today, but they knew each other before that too. As much as Sonic hates everything his nemesis has done, there's sure to be a part of him that remembers his friend Ovi Kintobor. Perhaps he still thanks him for transforming him into the Blue Blur and holds out hope that there's still good in him.