Origin

The Bajoran people are known for there technological advances that were well in advance of most races.  They became so advance that they became complacent and were easily taken over by the Cardassian people.  The Cardassians occupied Bajor for about 50 years until the Cardassian/ Federation peace treaty that changed the boundaries and put Bajor in Federation space.
 
The Bajorans suffered greatly under the Cardassian Occupation.  Many Bajorans were killed in forced labor camps and in skirmishes with the resistance.  When the Cardassians left they had gutted everything even natural resources from the planet.  It is because of this that the Federation came in and helped the Bajoran people.

Creation

The Bajorans were created during Star Trek: the Next Generation television show.  The first ever Bajoran character was Ro Laren.  When the show Star Trek: Deep Space Nine was created the actress who played Ro, Michelle Forbes was ask to play the role that would later become Kira Nerys.  Forbes refused so the character was changed.