There are two major processes: Forging and stock removal. There are many variations of both and the processes used by custom makers necessarily vary from those used by manufacturers. And, of course, the processed for a folding knife are usually much more elaborate than those for a fixed-blade.
At a typical manufacturer, "soft steel," steel which has not been hardened, arrives in flat sheets of a specific thickness. It is then cut into "blade blanks" by either stamping, laser, or EDM.
Here is a very interesting if mis-labeled eBay auction. The seller thinks it's a blade mold. It's not. It's just a scrap piece of sheet steel that was left over after blade blankes were stamped out of it.
The blanks are then "profiled" by a machining process.
The profiled blade is heat-treated in a furnace. This hardens the steel.
The heat-treatment process can cause minor dimensional changes in the blank. So, precision machining processes, e.g. drilling holes for the folding mechanisms of a folding knife, are done after the blade blank is hardened.
A rough finish goes on.
The blade is then assembled into a knife and then sharpened and maybe polished.
Of course, there are many variations on this. And I'll let someone else discourse on forging.