Dolphins and Whales originate from land mammals:

They evolved from small hooved mammals into otter-like
creatures. An example of how the stages from land mammal to dolphin
may have looked are otters, sealions, manatees and hippo's
These are all mammals that adapted to aquatic conditions.

Rudimental

Human hand and a Sperm Whale's Pectoral Bones.

In 2007 an adult Bottlenose Dolphin with hind-limbs
was caught in Japan. This animal is very important for scientists.

Dolphins/Whale evolution and Humans

The 'Aquatic Ape' Theory

The aquatic ape hypothesis (AAH) is an alternative
explanation of human evolution.

which theorizes that the common ancestors of modern humans
spent a period of time adapting to life in a partially-aquatic
environment.

The theory is based on differences between humans and great apes,
and apparent similarities between humans and Dolphins/Whales.

The Arguments:

Bipedalism out of water causes considerable problems for
the back, knees and organs, while water would support the joints
and torso and permit breathing.

Humans are relatively hairless compared to great apes,
similar to the hairlessness of land-dwelling rhinoceros and
elephant which both have aquatic ancestors what body hair humans do
have also follows water flow-lines.

Increased subcutaneous fat for insulation,
especially in human infants.

A descended larynx.

A hooded nose, muscular nostril aperture control and
the philtrum preventing
water from entering the nostrils.

Extensive coverage of the skin by sebaceous glands.

The requirement of the human brain for certain nutrients
including iodine and some essential fatty acids which are most
easily found and absorbed in seafood.

Voluntary breath control which allows diving and swimming
and a more streamlined shape compared to other apes.

The mammalian diving reflex which occurs when the head is
immersed in cold water.

Vestigial webbing between the fingers.

The waxy coating found on newborns.

Certain morphological adaptations within the kidney.