The history of Labradors is a colorful story. The Labrador Retriever origin is one that starts not in Labrador but in Newfoundland. Canada, a region owned by England until after WWII, was considered in general geographical terms by the gentry across the drink. As such, Labrador and Newfoundland were lumped together by the English.
Labs are believed to have come from the St. John's Dog, a Newfoundland-area "breed" which had been around since the 16th century. Those dogs were used to retrieve fish. Over time they were crossbred with dogs imported from Portugal, England, and Ireland. In turn, a semi-breed emerged, and that was called — in turns — the Newfoundland and Greater Newfoundland. These dogs were believed to have been produced when mastiffs and the French St. Hubert's hound dog were introduced to the breeding.
In 1807, these dogs were exported to England and used as hunting dogs. In 1887, the Earl of Malmesbury — an Englishman — conceived the name "Labrador." Although that earl kept his Labrador Kennels well-stocked with the dogs until his death in 1841, the breed nearly died out in England during the 1880s. Just before he died, the earl and two dukes — of Buccleuch and of Home — managed to save the breed. The two dogs (named Ned and Avon) given to the dukes are said to be the ancestors of all British Labs alive today. Avon sired puppies with liver coats and may be responsible for many of the American Field Champion Labs with the chocolate gene.
In the early 20th century, the Lab finally made its way to the America. The AKC registered its first Labrador retriever in 1917. If you are wondering, Where do yellow Labs come from?, it may be either Ben of Hyde (from kennels of a British officer, Major C.J. Radclyffe) or Kinclaven Lowesby, the first yellow Lab that was AKC-registered and was done so in 1929.