This is one of the most common questions Bible prophecy teachers receive when speaking to people about prophecy. The actual origin of the Antichrist (that is, his ethnicity and, thus, where he will come from) is not conclusively known, though I believe scripture supports one answer much better than any other.
There are many good scholars that have equally strong opinions about the matter. The main theories are that the Antichrist will either be:
1. THE MUSLIM THEORY
When one studies the Muslim religion and sees some of the parrallels between what they think is their savior and then what the Bible describes the Antichrist to be, we can understand how some may come to the conclusion that Antichrist will be Muslim. The problem that is foreseen with that theory is that not many Jews would accept a Muslim to be their savior, as Muslims have been a sworn enemy of the Jewish people for centuries and do not share their faith whatsoever.
Also, we must be very careful about using only evidence external to the Bible for support of a theory such as this. While a case can be made that the Muslim religion is a force to be dealt with (particularly for the Jewish people), scripture does not seem to ever point to a Muslim being the Antichrist. Also, many scholars suggest that upcoming wars (e.g. the war described in Psalm 83) will substantially diminish the role of the Muslim world. We must understand that Israel will be living in a time of peace when the Antichrist comes upon the scene (1 Thessalonians 5:1-9), which diminishes the threat of Muslims to the Jews.
2. THE JEWISH THEORY
Others believe the Antichrist will be of Jewish descent, as that would help lull the Jewish people into accepting him. Yet we read in scripture that the Antichrist will be bent on destroying the Jews, just as Satan has wanted to do since the Jews existed. It would seem unnatural for Satan to choose a Jew to do that bidding since that has not been the precedent in the past. We also learn that the Antichrist will have the attention and respect of a worldwide audience. It would be very unusual for a Jew to have that respect given much of the world is anti-Semitic.
3. THE GENTILE/ROMAN THEORY
Most scholars believe that the Antichrist will have Roman origins. The best support for that is given in Daniel 9:26, which has the most detailed literal account of the origin of the Antichrist. There we are told that the Antichrist will originate from the people who would, in the future, destroy the city of Jerusalem and the Jewish temple. Looking back in history it is clear that the Roman Empire accomplished that in A.D. 70.
In contrast to the unliklihood that a Jew would be an accepted world leader, the Antichrist prototype, Antiochus Epiphanes, was a Gentile. As we look at current events, we can also see how a man origining out of the powerful European Union could rise to world power quickly. Another very strong biblical argument for this theory is that "the sea" typically represents Gentiles in scripture; thus, when we read in Revelation 13:1 that the Antichrist (the “Beast”) will rise out of the "sea", it suggest he will come from a Gentile nation.
PUTTING IT ALL IN PERSPECTIVE
From the Christian's perspective, since the Antichrist will not appear until after Christians are Raptured to heaven (1 Thes 4:16-17; 1 Cor 15:51-52), we must be careful not to prematurely point to world leaders or others in the world now and claim they are the Antichrist. For unbelievers that are left to face the tribulation, however, the Bible has left many clues about his characteristics so that he may be identified which I have already detailed in a previous article entitled What Will the Antichrist Be Like?