There is no choice to come here, to this material world; from somewhere else, like the spiritual world or any other place for that matter.  The only choice is to go from here, (the material world), to somewhere else like the spiritual world.  That is the way it is.  Whatever is inconceivable is inconceivable.  Moreover, even if it were possible to explain to us how and why it is inconceivable, we would still not understand, because we are conditioned jivas.  In addition, to satisfy some people, you can say that it is more or less irrelevant, depending on your angle of vision.

The nitya-dharma of the jiva is servitor ship to Krishna.  When it forgets this, it is subjected to the tyranny of maya, and from that very moment, it becomes diverted from Krishna.  The fall of the jiva does not take place within the context of material time.  Accordingly, the jiva has been diverted since time without beginning.  From the moment of this diversion, and the jiva’s entry into maya, his nitya-dharma becomes perverted.  Therefore, by the association of maya, the jiva develops an acquired nature, which thus facilitates the display of his temporary function, and disposition known as naimittika-dharma.  The eternal function is one, indivisible, and faultless in all different situations.  However, the temporary function assumes many different forms when seen in diverse circumstances, and when men of different opinions describe it in various ways.