Just like the electrons getting passed down the chain, they come from energy source molecules, like fats and sugars, and wind up getting passed on to oxygen at the end of the transport chain to form water.

The protons get passed through different chemical intermediates after they’ve been taken into the cell, but the overall equation C6H12O6 + 6O2 -> 6CO2 + 6H2O gives the idea. The H’s leave sugars and wind up in water.