He never really 'got' it anywhere, they just added it to match his "one-winged angel" motif. One could say that being part alien calamity-of-the-skies, he 'got' it from Jenova.
He never had it in the original game but I guess for Advent Children, Nomura wanted to keep the whole One-Winged Angel thing going but couldn't have Seph in his final form. So they slapped a black wing on him and viola. I for one prefer my Sephiroths wingless and insane. Not to mention it would be near impossible to fly around with only one wing. Then again, I shouldn't be arguing logic in that film. -- ∙ ∙ 03:17, March 26, 2013 (UTC)
Nomura just added it for shits and giggles.03:19, March 26, 2013 (UTC)