History of the Mandalorians

This Is the Way
…but why?
 
From the Show
The first time we hear the iconic phrase is in Season 1 Episode 3: The Sin.  This occurs when Din Djarin meets with The Armorer and other members of their tribe.  This is also where the so called creed is first mentioned.  Din’s tribe lives and dies by the Creed, which at the time we meet them included the prohibition against removing their helmet in front of any living person, the obligation to win fights honorably, the need to stay hidden, and the prioritization of children.  Actions derived from following the Creed are punctuated by the declaration, "This is the Way."

The History of the Mandalorians (Canon)
True Canon Mandalorian history is hard to figure out.  It’s unknown what elements from previous novels, comics, and games will be folded into their history and background.
"Mandalorian isn't a race. It's a Creed." ―Cara Dune & Din Djarin
This is true today but the first Mandalorians did in fact originate from the planet Mandalore, an outer rim planet. The leader of the Mandalorians was known as the Mand'alor, translating to "Sole Ruler".   Years of war left the planet inhospitable, forcing the Mandalorians to live within domed cities.  In their past, the Mandalorians quickly expanded to take over their sector, and even tried to penetrate the galaxy's inner rim only stopping once the Jedi pushed back.
"When one chooses to walk The Way of the Mandalore, you are both hunter and prey. How can one be a coward if one chooses this way of life?" ―The Armorer
Wearing distinctive armor, they were feared throughout the galaxy, and had political influence over two thousand other star systems.
Due to civil war, Mandalore was split between those who sought a peaceful society and those who held on to their violent roots.
"We are the Death Watch, descendants of the true warrior faith all Mandalorians once knew. Now my people are living in exile because we will not abandon our heritage. Our people were warriors. Strong. Feared! Now they're ruled by the New Mandalorians who think that being a pacifist is a good thing. They've given away our honor and tradition for peace. Duchess Satine and her corrupt leadership are crushing our souls, destroying our identity. That is our struggle." ―Pre Vizsla
During most of the Clone Wars, Mandalore was led by Duchess Satine Kryze. Near the end of the war, she was overthrown and killed by Maul and his Shadow Collective which established former Prime Minister Almec as the face of Maul's rule. After the Siege of Mandalore and the Imperial occupation that followed the end of the Clone Wars, Gar Saxon led the planet as Viceroy for the Empire until his death. His brother Tiber Saxon succeeded him as Governor until his death.
 
The History of the Mandalorians (LEGEND)
This info is currently categorized as “Legends” and therefore non-canon.  However a few items of note are worth mentioning as elements of them have been referenced in The Mandalorian.
According to legends, The first Mandalorians were decended from the Taung, an ancient species of Humanoid simians indigenous to the galactic Core World of Coruscant.  The Taungs were warriors from youth, and viewed battle as a source of honor both for the individual and their gods.
Taung society was nomadic and clan-based. Veterans of successful campaigns were honored, and looked upon with reverence. These battle-tested elders became chieftains, de facto leaders of their clan and community; higher authority came only from the Mand'alor, a title that meant "Sole Ruler" in the Taung language, and a role that embodied a single leader of all the warrior clans.
Eventually, after hundereds or years of war, The Taung were driven from Coruscant and fled to the outer rim of the galaxy.  Their leader, Mandalore the First, found another planet in the Outer Rim—a world of multiple ecosystems, uninhabited by intelligent life, and dominated only by a race of non-sentient creatures of colossal size known as mythosaurs—and claimed this new planet as their own.