Prussia has been inhabited for thousands of years. The ancient
Romans wrote about a tribe called the Aesti who lived there around
the time of Roman Emperor Augustus. It's believed that the Aesti
were the Brusa (or Prusa) people, also known as the Old Prussians.
They were non-Germanic (it's unclear exactly where they derive
from) tribesmen who lived in the area.
In the 1200s, an army of German knights known as the Teutonic
Order launched a crusade against the Old Prussians because they
refused to convert to Catholicism. The crusade was mostly
successful, and the Teutonic Knights conquered the area around the
eastern coast of the Baltic Sea. The Order then launched a less
successful attack on Lithuania, which was also not Catholic; they
were eventually decisively defeated by a combined Polish and
Lithuanian army and their conquests ended.
In the early 1500s, the last grand master of the Knights
converted to Lutheranism. He worked out a deal with the King of
Poland to become the first Duke of Prussia. In 1525, the Duchy of
Prussia was born and was comprised of the territory that the
Teutonic Knights had controlled. In 1701, the Duchy became a
Kingdom, as a reward for helping fight against France during the
War of the Spanish Succession.