They get them from their parents and their family, from their religion, from their life experiences...they can come from all kinds of sources, but it's up to the individual to sort them out and decide what morals they want to follow.
I think in a way you are born with them.... What you do with them is a choice.
I don't think humans like the thought of seeing something horrible happen to someone else because of empathy, in thinking about how they'd feel. Of course this excludes psychopaths because they do not feel empathy, so if they are in charge of countries then we are screwed.
That said, humans have over the years identified with their race (this is inbuilt), belief, country, family, class so on so forth, hence nasty things happening to "others" has been deemed ok, even necessary in order for one group to become top dog, hence empathy can be erased when programmed to see others as inferior, evil, weak or wrong. Some of humanities worse atrocities are caused by this mentality, even today. It wasn't that long ago when we had slavery, public hanging, workhouses, and when gladiators killed eachother for entertainment. Today we still have paedophilia rings in Hollyweird, Catholic Church and in the UK which are said to go right up to members of the Royal family, yet they will never be held accountable.
To my mind, people inevitably select their own morals. Whether influenced by beliefs, culture, or our own ambitions, how we behave toward others is a product of what works from our own perspective. Morals in practice are an ongoing exercise of reward over remorse, of social acceptance over rejection.
I think from peers, family and just generally the place in which they grow up. The environment in which they grow up. Good question:)
Family, community, and society. Ultimately the individual and their conscious dictates their personal morals.