They were all created by Ilúvatar, who considered some of them siblings.
According to Tolkien Gateway:
The Ainur were the "offspring of Ilúvatar's thought", and each was given understanding only of that part of the mind of Ilúvatar from which they came. The exception to this was Melkor, the greatest of the Ainur, who had a part of the gifts of all the others.
Although all Ainur are made of the thought of Ilúvatar, in His mind some were siblings.
In The Silmarillion, "Ainulindalë: The Music of the Ainur", we have the following quote to back this up (emphasis mine):
But Manwë was the brother of Melkor in the mind of Ilúvatar, and he was the chief instrument of the second Theme that Ilúvatar had raised up against the discord of Melkor; and he called unto himself many spirits both greater and less, and they came down into the fields of Arda and aided Manwë, lest Melkor should hinder the fulfilment of their labour for ever, and Earth should wither ere it flowered.
Tolkien explains this further in one of his letters (Tolkien's Letters, Letter 211; emphasis mine):
In the cosmogonic myth Manwë is said to be 'brother' of Melkor, that is they were coëval and equipotent in the mind of the Creator.
Interestingly, some references to siblings were edited out of the Ainulindalë. The original text read (emphasis mine):
And Manwë and Ulmo and Aulë were as Kings; but Varda was the Queen of the Valar, and the spouse of Manwë, and her beauty was high and terrible and of great reverence. Yavanna was her sister, and Yavanna espoused Aulë; but Nienna dwells alone, even as does Ulmo. And these with Melkor are the Seven Great Ones of the Kingdom of Arda.
but this was edited by Christopher Tolkien because in a
later account of the Valaquenta Yavanna was not Varda's sister, and the conception of the Seven Great Ones was changed. The published version says that among the Valar:
Nine were of chief power and reverence; but one is removed from their number, and Eight remain, the Aratar, the High Ones of Arda: Manwë and Varda, Ulmo, Yavanna and Aulë, Mandos, Nienna, and Oromë.