"They were once Men. Great Kings of Men. Then Sauron the Deciever gave
them Nine Rings of Power. Blinded by their greed, they took them
without question, one by one, falling into darkness. And now they are
slaves to his will. They are the Nazgûl, Ringwraiths, neither living
nor dead. At all times, they feel the presence of the Ring, drawn to
the power of the One. They will never stop hunting you."
- Aragorn, explaining the Nazgûl's origin to Frodo, Sam, Pippin and Merry
"Nine he gave to Mortal Men, proud and great, and so ensnared them.
Long ago they fell under the domination of the One, and they became
Ringwraiths, shadows under his great Shadow, his most terrible
servants."
- Gandalf, to Frodo (The Lord of the Rings, The Fellowship of the Ring, Chapter 2, "The Shadow of the Past")
"Once nine great Kings of Men, they were all given Rings of Power. The
Nine took them without question and subsequently, after the forging of
the One Ring, became slaves of Sauron and later his chief lieutenants.
After centuries the effect of the rings left the kings spectral,
invisible to all but Sauron and whoever wore the One Ring."
- http://lotr.wikia.com/wiki/Nazg%C3%BBl
Isto é tudo o que posso encontrar sobre a sua biografia sobre o seu início, durante a sua mudança e o início da sua mudança.