The Advent wreath may have developed from the Yule Log. The Yule Log came from pagan religion. It was lit to drive away the demons of ice and snow. As Europe became Christian, Christians kept the Yule Log. The Advent wreath was first used in Lutheran homes in 16th century Eastern Germany.
Professor Haemig of Luther Seminary, St. Paul, points to Johann Hinrich Wichern (1808–1881), a Protestant pastor in Germany who worked among the poor used a wreath. (https://en.m.wikipedia.org/wiki/Advent_wreath). During Advent, children at the mission school Rauhes Haus In Hamburg, founded by Wichern, would ask daily if Christmas had arrived. In 1839, his wreath was made from a wooden ring (an old cartwheel) with 20 small red and 4 large white candles. A small candle was lit successively every weekday and Saturday during Advent. On Sundays, a large white candle was lit.
It should be noted that this was not a liturgy for the church, but a devotion for the home. In time it became more popular in German Protestant circles and evolved into the smaller wreath with four candles, or five (with a large candle in the middle for Christas. Roman Catholics in Germany adopted the custom in the 1920s, and in the 1930s it spread to North America. Professor Haemig’s research also indicates that the custom did not reach the United States until the 1930s, even among German Lutheran immigrants.
Today most Advent wreaths use four purple or blue candles with a white candle at the center. Sometimes a rose candle is used for Gaudete Sunday (the third Sunday of Advent which focuses on joy and rejoicing). The practice has spread to Catholic and even Orthodox Churches.
I was recently asked by a member of our altar guild about the proper colors of the candles of the wreath, and by a pastor about the meaning of the rose candle. You won’t find instructions about the Advent wreath in any historical books on the liturgy. It was a grass roots family devotion that found its way into Sunday worship.
I have heard quite elaborate teaching around the meaning of the candles over the years, but this is a fairly modern invention.