The lights happen because tiny invisible particles from the Sun fly through space, hit the Earth's atmosphere, and crash into the gases up there. When they crash, the gases glow - a bit like how the inside of a fluorescent light glows when electricity zaps it.
Different gases make different colours. Oxygen high up makes green and red lights. Nitrogen makes blue and purple. That is why the lights are usually green at the bottom and sometimes purple along the top.
Because they are caused by the Sun, the lights are happening all the time - we just can't see them when the sky is too bright. They show up best in winter, when the nights are long and the sky is very dark, and when you are far from city lights.
Many of Canada's northern Indigenous Nations have their own names and stories for the lights. The Cree call them yôtin (the dancers). In Inuktitut, the language spoken in Nunavut, they are sometimes called aqsarniit. Across the world, people have looked up at the same lights for thousands of years.