Surprisingly, asphalt is both a manufactured product and a naturally occurring substance. Most simply, asphalt is a semi-solid form of petroleum. More about Harrisburg, PA can be seen here.
Natural Asphalt
Since asphalt comes from petroleum, it is found in natural deposits the same way that petroleum is found. For example, at the La Brea Tar Pits near Los Angeles, asphalt just oozes up out of the ground. It also seeps up in the Dead Sea. Click here to read about What Kind of Asphalt Do I Need.

Asphalt can also be found in the “oil sands” in Canada and in Utah. The largest deposit of asphalt is found in northern Alberta, Canada. Archeologists believe the asphalt developed from crushing plants and animals under extreme pressure for millions of years; just the same way petroleum is formed.
Manufactured Asphalt
Making asphalt is a pretty straight-forward process. When crude oil is distilled, the components of the crude separate. The heavy deposits left over after the distillation are asphalt in its most basic form.
Sometimes the asphalt is blended back with some of the volatile elements of petroleum. These elements then evaporate during road paving, leaving the solid asphalt behind.
Other times the asphalt is ground into microscopic particles and then mixed with water and soap to emulsify the product and make it easier to use in spraying applications.