In the story Challenge of Mazahs, he claimed that after the rebellion of Black Adam, Shazam expelled all the evil from his being and that evil became Mazahs. However, this doesn't quite jibe with me. Shazam is not perfect for one thing. Also, I think when the heroes in that story when back in time and freed Mazahs from where Shazam had imprisoned him, it was before Black Adam had rebelled. My theory is that Mazahs actually originated on Earth-3, and was somehow banished to Earth-S where Shazam imprisoned him.