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... of China
That's right, the original name for churros is youtiao which means "demon fried in oil" (seriously). In the 1500s, Portuguese sailors allegedy discovered this tasty treat and decided to take it to Europe where they transformed it from a salty dish to the sweet delicacy we know today.
It turned out to be a hit in Spain, and its name was changed to "churros", in reference to the horns of the churras sheep. Sweet, isn't it?