Brown dwarfs and planetary-mass objects freely wandering in molecular clouds were discovered more than 20 years ago, but recently the number of these objects was found to be higher than previously thought. Because of this, their origin is at the heart of current debates, being the "star-like formation" or the "planet formation + subsequent ejection" the most promising scenarios. The recent observational efforts to search, identify and characterize brown dwarfs that are still embedded in their molecular clouds will be presented. A new correlation between the internal luminosity of an object and its accreted mass will be shown, essential to design future strategies to search for these elusive objects. From this review study, two main results favor the "star-like" scenario: 1) the updated correlations between protostellar properties seem to extend down to the substellar regime; and 2) a particular underproduction of low-mass proto-brown dwarfs in Ophiuchus compared to Lupus and Taurus suggests that heating of the Ophiuchus cloud by the nearby OB stars could be suppressing the formation of these objects. However, a very recent work conducted at IRyA reveals that a proto-brown dwarf candidate in Ophiuchus seems to have been ejected from a multiple system, strongly indicating that the "planet-like" scenario could be more important than previously thought.