It started with MJ:

According to Jordan’s official NBA biography, when he made his way into the NBA, he wanted to keep his college experience close, so he wore his North Carolina shorts under his NBA ones. This decision, per the NBA’s website, had an interesting side effect: Michael Jordan’s UNC short shorts wouldn’t fit under his Chicago Bulls short shorts, so he had to wear baggy, knee-length Bulls shorts instead, as seen here. In doing so, he broke the mold set forth by players before him.