1610s, "made by ones own actions or efforts," from self- + made. Self-made man is attested from 1826, American English; the notion is "having attained material success in life without extraneous advantages."
This expression, in the sense in which I here use it, is perhaps peculiar to our own country ; for it denotes a class of men to be found in no other part of the world. It is true, that in Europe there have been those, who, having a bent of the mind, or a genius, as it is called, for some particular employment, have by their own unassisted, persevering efforts, risen to eminence in their favorite pursuit. But the self-made men of our country differ much from these. Genius in them is sterling common senses ; and their object was not the gratification of the mind in some strong predilection for a favorite employment, but rather the attainment of those intellectual habits and resources, which might prepare them for usefulness, and give them influence and eminence among their fellow men. [Samuel P. Newman, "Address Delivered Before the Benevolent Society of Bowdoin College, Tuesday Evening, Sept. 5, 1826"]