Every action (present) has a reaction (future) and a cause (past). There is no action (work) without a cause. Every cause has its cause(s) material or eternal. God is the cause of all causes but He Himself has no cause. He is the "sarv kaaran-kaaranam", He is the cause of His "Brahman" and "Parmatama" revelations too.
Nevertheless, the different religious thoughts differently explain "how?" the material existence comes into being but answering the "why?" is difficult..... always.... in every case !!
The Bhagvatam mahapuran, although has the answer in third and fifth volumes (scand). We all have unique eternal identities as unconditioned souls (as the salokya-mukta jivas, who resided in the same domain of Parmatama, but we have never ever participated/entered the Bhagvat-dham, higher "vaikuntha", the realm with His eternal pastimes, due to lack of higher eternal knowledge, desire, love and servitude). We have our eternal roots in the God's Kingdom or lower "vaikuntha", which is without the eternal pastimes (without Sakhayam, Vatsalya and Madhurya Rasa). Somehow, when there near the "vaikuntha", we acquired a hidden desire to be the absolute enjoyers like God or Parmatama. Knowing this desire He manifested His external energy, i.e. material potency into its eight components (the three for subtle and the five for the gross existence), the illusionary energy for the fulfillment of jiva-atamas' desire to become enjoyer or "bhokta brahman", similar to the Almighty. The permanent eternal identity of the soul is as a servant of God. However, we are in illusion to temporarily enjoy in ignorance under the influence of His illusionary potency, i.e. maya, which is also eternal servant of God. In B.Gita too He has hinted about it in verse #7.27 as:
इच्छाद्वेषसमुत्थेन द्वन्द्वमोहेन भारत|सर्वभूतानि सम्मोहं सर्गे यान्ति परन्तप||
ichchhā-dveṣha-samutthena dvandva-mohena bhārata
sarva-bhūtāni sammohaṁ sarge yānti parantapa.
By word "sarge" meaning at the onset of material universe creation, Krishna is indicating that at the very start of incarnate existence, all creatures are inveigled into the loops of various dualities such as good and better, higher bliss and highest bliss, honour and dishonour, controller and controlled, true-ego and false-ego, which are generated by the desire for what is agreeable and the aversion to what is disagreeable. The word "sarge" meaning at the very beginning of creation as soon as our atma or eternal soul (blissful eternal identity without any causal body) became an embodied being (with having a causal, a subtle and a gross body).
And the human life is considered to be the most important within the material system because of our freedom to choose (the basis of karma based existence, not to be confused and compared with any constitutional right and/or its recent amendments) which is not even granted to demigods. Truely said, "karma pradhan vishwa kari/rachi rakha". Arjuna invested his time in developing friendship with Krishna and in return Krishna removed all the hurdles from his life and made him victorious. Similarly we should invest our time in developing friendship with Krishna. It’s very easy to do. We just need to dovetail our activities (karma) as per Krishna’s advice. And Krishna assures us, “In this endeavour there is no loss or diminution, and a little progress on this path can protect one from the most dangerous type of fear.” (B.Gita# 2.40)
The upnishada story; reminding the demigods who had once forgotten their limits, the Brahaman (personified) tought the lesson to agni, demigod of the fire energy; the vayu, the demigod of wind energy, and many more. The demigods have no choice to perform beyond their assigned limited duties. They seem to be at higher levels of material enjoyment but they don't have the freedom of surrendering karma onto God like the humans. It has been explained in the Upnishada, "sur-patim brahmam padam yaachate". Lord of the material heaven, Indra, wants the post of Lord Brahma, the ultimate ascending material designation. The tourism of higher material domains here, however, is for material sense enjoyment which is not a journey for the true destination, back to the permanent eternal bliss.
And not the least, during His eternal Pastimes in the mundane worlds, "Avatar-Lila" (not manifested in Brahman and in Parmatama) He Himself honours the human life form unavailable to even the big demigods, the mahadevas, when He comes between us to remind us of our eternal roots and protect us from all the material bliss in the illusion. He wants to remind us our chance to enter into the eternal pastimes with Him in the higher "vaikunthas" and the highest realm, "goloka".