The ancient Egyptians were the first to enjoy the marshmallow as early as 2000 BC. The treat was considered very special and it was reserved for gods and royalty. Of course, it wasn't called "marshmallow" in ancient Egyptian; it was called "scarab forearm bird bird bird." How we come to know this will be revealed in the next paragraph.
Marshmallow was made from the mallow plant (athaea officinalis) that grows wild in marshes. How more brutal than Hound of the Baskervilles can you get? Slopping through a marsh and digging up strange plants wasn't brutal enough, so we used horse hooves that we boiled down, dried, and powdered. The Egyptians squeezed sap from the mallow plant and mixed it with nuts and honey. We know this because we found Grover Cleveland's time machine.
To make marshmallows, use lots of sugar. And all your Karo. All of it. Make sure you smack out every last calorie. We're serious about this. Behold the seriousness. Bask in its healing scent.
You want your sugar to reach -31.7°D (firm ball).