Answer by taking a quote from the following article:

The Blackfoot Confederacy, Niitsitapi or Siksikaitsitapi (nitmowmeko, meaning "the people" or "Blackfoot-speaking real people") is a historic collective name for the four bands that make up the Blackfoot or Blackfeet people: three First Nation band governments in the provinces of Saskatchewan, Alberta, and British Columbia, and one federally recognized Native American tribe in Montana, United States. The Siksika ("Blackfoot"), the Kainai or Kainah ("Blood"), and the Northern Piegan or Peigan or Piikani ("Apa'tosee" or "Poor Robes") reside in Canada; the Southern Piegan/Piegan Blackfeet ("Amskapi Piikani" or Pikuni) are located in the United States, where they are also known as the Blackfeet Nation. In modern use, the term is sometimes used only for the three First Nations in Canada. Historically, the member peoples of the Confederacy were nomadic bison hunters and trout fishermen, who ranged across large areas of the northern Great Plains of western North America, specifically the semi-arid shortgrass prairie ecological region.

The Niitsitapi, also known as the Blackfoot or Blackfeet Indians, reside in the Great Plains of Montana and the Canadian provinces of Alberta and Saskatchewan. Only one of the Niitsitapi tribes are called Blackfoot or Siksika. The name is said to have come from the color of the peoples' moccasins, made of leather. They had typically dyed or painted the soles of their moccasins black. One legendary story claimed that the Siksika walked through ashes of prairie fires, which in turn colored the bottoms of their moccasins black.  Due to language and cultural patterns, anthropologists believe the Niitsitapi did not originate in the Great Plains of the Midwest North America, but migrated from the upper Northeastern part of the country. They coalesced as a group while living in the forests of what is now the Northeastern United States. They were mostly located around the modern-day border between Canada and the state of Maine. By 1200, the Niitsitapi were moving in search of more land. They moved west and settled for a while north of the Great Lakes in present-day Canada, but had to compete for resources with existing tribes. They left the Great Lakes area and kept moving west.  When they moved, they usually packed their belongings on an A-shaped sled called a travois. The travois was designed for transport over dry land. The Blackfoot had relied on dogs to pull the travois; they did not acquire horses until the 18th century. From the Great Lakes area, they continued to move west and eventually settled in the Great Plains.  The Plains had covered approximately 780,000 square miles (2,000,000 km2) with the Saskatchewan River to the north, the Rio Grande to the south, the Mississippi River to the east, and the Rocky Mountains to the west. Adopting the use of the horse, the Niitsitapi established themselves as one of the most powerful Indian tribes on the Plains in the late 18th century, earning themselves the name "The Lords of the Plains." Niitsitapi stories trace their residence and possession of their plains territory to "time immemorial."

Where do they think they originate ?
One legendary story claimed that the Siksika walked through ashes of prairie fires, which in turn colored the bottoms of their moccasins black.