If you mean your eye color, like blue or brown eyes, it is from pigment. People with blue eyes actually have no color in them. Brown eyes comes from a coloring in them.
Now, if you mean how we see color, that comes from light. If you are in a room with white light from the sun or a light bulb, that light actually has all the colors in it combined. They break up in a prism. If the light hits something that has what we call green, it means that object's atoms absorbed all the light hitting it, but for some reason nobody really understands, it spits back a certain amount with an exact frequency of green. With certain frequencies of light, the electrons jump up to a higher energy state and immediately jump back down to where they were before, but in doing so they release a photon with only green frequency. Our eyes bring this light to our brain using a lens. Our brain has special chemicals that detect the green signal and we see green. If we get more than one color frequency of light hitting our eye, our brain interprets it as different colors based on a mixture of red, green and blue, which is all it can sense (there is one cone for red, one for green, and one for blue). For example, yellow comes from red + green. Our eyes also have rods for seeing in low light, but those can only see in black and white, which explains why you can't see color in a dark room. It is all just a big simulation like in The Maxtrix, since nothing exists without our brain creating it. Really strange when you think about it.
Hope this helps you understand it. The concept of turning light into colors when it hits something is actually very advanced and is called the photoelectric effect. Albert Einstein got his Nobel prize for discovering it. He did the E=MC^2 stuff, but did not get a Nobel prize.