I love Dolphin. they are highly intelligent marine mammals.
and human rescue.
Many theories exists that try to explain the reason, but until now none is widely accepted.
Researchers think that sometimes the relationship between humans and dolphins have nothing to do with empathy and rather it is a symbiotic relationship of help-reward. A sample of this is the case of dolphins which help fishers to find fish or other prey since, in the end, these cetaceans receive a portion of the fish obtained.

The question here is why did they begin to do this if no one taught them?

The act of defending humans from an animal that can attack them, like sharks, is similar to the behavior of mothers protecting their offspring. Many disabled swimmers or divers claim that were held and transported to the surface with the aid of a dolphin, action used with other cetaceans.

Another explanation may be related to the comparison between body characteristics of dolphins and humans since both are intelligent mammals. Thanks to its sense of echolocation, a dolphin can hear the heartbeat and realize when a person is helpless. It is the moment when they act as they would do it with a mate.

Hope that be informative and serve your topic.