They appear in Star Wars: Episode VIII - The Last Jedi as supporting antagonists.
The guards were presumably created to mirror Emperor Palpatine's royal guards, as Snoke's First Order mirrored the Empire in various ways. The eight Praetorian Guard's origins are not known, nor are any facts or details about just how they were selected or trained for their role. But ultimately, they came into being as Supreme Leader Snoke's personal protectors, being absolutely loyal to him.
This loyalty to Snoke went even into death; after Snoke was betrayed and bi-sected by his hitherto loyal servant Kylo Ren, the guards immediately turned on him. However, Kylo Ren and the aspiring Jedi Rey work together to survive to kill all eight of the guards. Once they've all been dealt with, Kylo Ren promptly takes over as the new Supreme Leader of the First Order, forcing Rey to escape.
- They are named after the Praetorian Guards from Ancient Rome, and serve a similar function of protecting the designated leader.
- Their being named "First Guard", "Seventh Guard", and so on brings to mind the similar practice of the Emperor's Inquisitors being named a number followed by either "brother" or "sister". This indicates that the Guards may have been inspired by Palpatine's Inquisitors as well as his Royal Guard.
- As already noted, they are based off of Palpatine's Royal Guards, but designed to look more "combat ready", so instead of wearing ceremonial flowing red robes with armor beneath it, the Praetorian Guards are more visibly armored. Said armor design was inspired by Samurai Armor (coincidentally, Samurai armor also inspired Darth Vader's armor design, and Luke Skywalker's actor Mark Hamill likened the movie the guards appear in to the film The Last Samurai.)
- The guards are named after ”Real life” Roman guards called “Praetorian Guards”.