In the Game of Thrones pilot episode "Winter Is Coming," Daenerys receives three dragon eggs of green, black, and gold color as a wedding present from the Magister of Pentos, Illyrio Mopatis. He informs her the dragon eggs are from the Shadow Lands beyond Asshai and that time has turned them to stone.
Where Did Daenerys' Dragon Eggs Come From? Even if it isn't Daenerys' dragon egg in House of the Dragon, season 1, episode 2 does come close to it. It reveals that the egg came from a dragon called Dreamfyre, which is likely the one who produced Daenerys' dragon eggs as well.