Recent work (Ilyas et al, 2019) suggests that adversarial examples are features not bugs. If adversarial perturbations are indeed useful but non-robust features, then what is their origin? In order to answer these questions, we systematically examine the learning dynamics of adversarial perturbations both in the pixel and frequency domains. We find that: (1) adversarial examples are not present at initialization but instead emerge very early in training, typically within the first epochs, as verified by a novel breakpoint-based analysis; (2) the low-amplitude high-frequency nature of common adversarial perturbations in natural images is critically dependent on an implicit bias towards sparsity in the frequency domain; and (3) the origin of this bias is the locality and translation invariance of convolutional filters, along with (4) the existence of useful frequency-domain features in natural images. We provide a simple theoretical explanation for these observations, providing a clear and minimalist target for theorists in future work. Looking forward, our findings suggest that analyzing the learning dynamics of perturbations can provide useful insights for understanding the origin of adversarial sensitivities and developing robust solutions.