Generally, they are born in the Kingdom. If they are famous enough and enter a Kingdom, they may be asked if they wish to pledge their service.

It often depends on the King himself, there are many ways.

[He then trails off for a beat.]

...When I served my King, I had been born there, and enrolled as a soldier. I happened to do well enough that the King came to see me, and others. I then asked if I might be knighted. I thankfully have roots in Nobility, otherwise I would have been denied as this King also allowed his Knights to be ranked as lesser Nobility.