The cosmics are the creator beings of the universe, with each taking on and being called by different names across different cultures. With Thor, Zeus, Raijin, and Set all potentially having been the same cosmic, just being called by a different name. Some cosmics were fused together by their cultures, Apollo being one such example, while others were split, with Osiris and Anubis having been the same cosmic. Across time and throughout history, it's documented that the cosmic would choose champions in times of strife in order to put an end to it, people like the Pharaohs, Romulus, and Remus thought to be champions. But also some fictional character are thought to have been inspired by real champions of the cosmic, like Robin of Locksley, or King Arthur and his round table of knights.
The cosmics being forced to choose champions to gift abilities to, as they themselves are unable to step in and appear in the material world as we know it. Each cosmic lives in their own home plane, the appearance of the plane varies on the cosmic themselves, but also the guise that they're putting on, the cosmic who was known as Thor would have a different appearing plane while presenting as himself rather than as Thor.