Gold came from the mountains of Russia which eroded and created alluvial gold deposits in the rivers flowing into the black sea, an area where the scythians and other nomads spent a lot of time. The gold was "panned" or otherwise filtered out of the river just as it is with similar deposits today.

For example, river sand/dirt would be diverted through sluices and gold would be collected on sheep skins. This is likely the origin of the "golden fleece" from the Argonauts story. They likely also sifted gold from areas in Kazakhstan. Though as of yet I'm not aware of any isotopic analyses of scythian gold artifacts which would conclusively pinpoint their geographic origins.