But, one theory claims to have cracked how they did it - claiming Egyptians used superior technology from alien visitors thousands of years ago.
But added to that, the shocking theory claims they were built much earlier than our history books tell us and that it was actually about 12,500 years ago when there were no civilised human societies on the planet.
The Ancient Aliens or Ancient Astronauts conspiracy theory claims that monuments like the great pyramids, or even Stonehenge, in Wiltshire, in the UK, could not have been created using the human technology available at the time.
So from this mystery, the theory takes the giant leap that it must have been advanced alien visitors who actually did it.
These other worldly visitors were then revered as Gods by our ancestors, who then worshiped them from these ancient monuments.
GETTYA conspiracy theory claims aliens built the pyramids on Earth thousands of years ago.
The outerworlds.com alien conspiracy theory website has a whole section dedicated to the argument that "aliens built the pyramids."
The website states: "You know those big stone structures out in Egypt?
"The ones which were supposedly built to house the remains of dead pharaohs?
"The ones you thought were built by the Egyptians? Well, you are wrong.
"They were built by ALIENS!
"Let's take a look at some undeniable evidence."
The theory then claims that because two diagonal lines extend from the pyramids on either side of the Nile River delta, then the early Egyptians could not have known this when building them.
GETTYCould aliens have really helped build the pyramids? Sceptics say the theory has been debunked.Related articles
It states: "Here is what really happened: A couple of aliens, flying high enough over the Earth to be able to see where the Nile Delta's origin is, easily saw what orientation the pyramid would need to be in order to have its diagonals lie on those two lines."
The website also says the great pyramid lines up almost exactly with the magnetic North Pole.
It says: "How could the Egyptians possibly have built their pyramid facing the exact magnetic North Pole without even having a compass?
"Those aliens, abundant in their knowledge and drowning in technology, came along and using their compasses, they landed on earth and found the actual magnetic north and south poles. Then they built the pyramids."
The website cites several further examples that it claims are proof that the pyramids were built so mathematically perfectly to align with celestial objects, it simply would not have been possible for our early ancestors to achieve this.
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