Its creation goes back to when the drow pulled a fragment of the Negative Energy Plane into the Material Plane in an attempt to free themselves from their prison in Doth'Mordun. When this fragment was destroyed, it left a tiny crack in the planar walls that slowly leaked negative energy into the Plane of Shadow. While this was not particularly troublesome in and of itself, the chaos of the Deity War ripped it wide open, sucking the entire Negative Energy Plane into the Plane of Shadow and fusing the two together into a new plane known as the Shadowfell. This event also created a massive fissure within Doth'Mordun where the material plane is open directly to the Shadowfell.
Though exploration into the Shadowfell has been limited so far, the church of Evening Glory does maintain a small outpost there.