Modern steroids supplies are synthetic, made in labs. For some reason 'artificial' bothers a lot of people, but there's no reason it should; there's no difference between a molecule of testosterone made by your body and one made by a chemist.
I believe much of the raw steroid powder for the black market supply comes from big pharmaceutical manufacturers in China. Labs that convert the bulk steroids into injectable vials/ampules exist all over the world, ranging from huge perfectly legal manufacturers (in countries where diversion is easy) to tiny one-man operations for local distribution.
To turn bulk testosterone powder into injectable form, it's typically dissolved in a thin oil (the vegetable kind, like grapeseed oil) and some other chemicals to kill bacteria and help dissolve the steroid. Obviously, ensuring sterility is a high priority...typically the steroid solutions are cold-sterilized using special filters that can remove any bacteria, fungal spores, etc.