Once heraldry became established, there was a natural desire to give it the firmest foundations possible. This was most easily achieved by back-dating the practice into antiquity. In addition, there was a natural desire to elevate forebears and the famous, and so heralds began to attribute arms to earlier worthies.
King Arthur and his knights were an obvious subject, particularly once they became established as paragons and role-models for the chivalry; in a similar vein the earlier kings of England came in for retrospective arms-bearing.
Beyond this arms were also ascribed for the worthies of history (Alexander, Caesar, Charlemagne), and then for the worthies of Scripture, including Joseph of Arimathea, Jesus and his mother Mary, and even (for complicated reasons) Satan himself.