It started with Leopold von Ranke. (1795-1886), the first real scientific historian. That is not true of course, as much as Ranke liked to claim it. Various forms of annotations and notes developed in the Western tradition among antiquarians, historians and others. Gibbon, for one, was big on footnotes, and he died in 1794. You can read about all this in Grafton, Anthony. The Footnote: A Curious History. Cambridge: Harvard University Press, 1997.^(1) Grafton emphasizes the evolution of what he calls the “double narrative” of historians both telling a story and discussing their sources (and providing a self-commentary, attacking their enemies and putting in dirty jokes) on the same page through the use of footnotes.

While Ranke was not the first to do this, he was the first to train hordes of students to do it. You could study under him at Berlin, and then go forth to Jena or Johns Hopkins or wherever and train future generations of professional historians who would use this form of writing (narrative tied to sources and source criticism through notes) as a badge of professionalism. This form of writing spread along with the modern profession, and along with it various other historians' tics, like preferring footnotes to endnotes (who wants to flip to the back of the book all the time to get to the good stuff?) and hating those stupid in-line citations (how do you do a content footnote like that)?

^(1) This is a really good book that I highly recommend, although my students tend to hate it.