I don't know about the rest of the universe, but our comets are supposed to come from the Oort Cloud [1].
The rest of the water needs Hydrogen (The most abundant element in the Universe) and Oxygen (generated by nucleosynthesis in the first generations of stars [2])
[1] So basically we can say that objects such as Oort Cloud are directly connected with the formation of a system and as such they're tied with the star formation itself?