If in Mathematica I type, for example:
Wolfram Alpha gives me lots of data (mass in kg, lb, sun radius, temperature...):
but where do they come from? How can I find the source of the data?
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Click the plus icon at the bottom right corner. It will bring up a menu which shows you the source when available.
You should also take a look at the function StarData and it's documentation. Most data like this has an associated function with it that you can call and has more structure.