The alien space bug originated from an egg that came crashing down like a meteor to Swellview. In The Space Rock, Gooba Gooch apparently found the egg, initially assuming it was a rock. He would show Henry and Charlotte the egg by lifting it up with his crane. However, Gooch accidentally released the rock, which weighed over 1000 pounds, and it dropped several feet below into the Man Cave.
While this was happening, Ray was dancing with Laylani when he received a warning from Henry that a rock was coming towards his direction. But he was too late to react and the rock hit Ray in the head, knocking him down and scaring Laylani.
Later, Henry, Charlotte, and Gooch came to check on Ray, who was dazed, but okay. Little did they know, once the rock was smashed open, the Space Bug was born and on the loose, sneaking into Henry's backpack.
The next day, when Henry came to the Man Cave, Ray was sending him hand signals that the Space Bug was on the loose. However, it was at Henry's house and his family freaked out. Captain Man came to kill it but it was crawling away on the air vents. It later makes it to Henry's bedroom and goes on Piper's face but Captain Man seemingly kills it, saying it crawled to a bush to die. But the Space Bug survived and was on a little girl's back.
In Danger & Thunder, the Space Bug is revealed to belong to a super villain named Alien Girl, whom rests on her dress. However, despite appearing in the episode (albeit motionless on the Alien Girl's dress) he is not brought up in any way.