The immediate cause was the collapse of both the Ottoman Empire in 1909 with the Balkan Wars and the collapse of the Hapsburg Empire in 1918. Serbia had been granted semi-autonomous status in the late 1800s and it slowly begun a resistance towards the Hapsburgs using its growing political and military connections with Russia under the banner of Pan-Slavism.

Most importantly however and predating the collapse of empire in the early 1900s was a collective and distinct South Slavic identity which, as indiscernible as it could sometimes be, was founded on the Serbo-Croat language and shared history of colonial subjugation.

Yugoslavia appeared as a somewhat 'artificially' created state in so far as it was a bi-product of World War One. That is not to undermine its legitimacy in any sense, however it was founded on the belief that a larger and stronger collation of different ethnic groups (united by a common language) would be more politically stable than minor states that, according to the Great Powers, were destined to instability, especially in the Balkans.

As a follow-up question, if I may, why Yugoslav sentiment, instead of nationalist, did not persist? I'm sure they would be richer today if they were united.