I always thought the Borg just sort of happened. With the V'Ger route or the Columbia route, us humans had a hand in its creation. Mind, I quite liked Destiny and found the Caeliar rather nifty, but I think the Borg should be terribly mysterious.
It seems to me that they themselves don't even know how they started. IIRC, Seven mentions in an episode of VOY that a lot of the Borg's older collective memories are sort of swiss cheese.