The Black & Gold coloring comes from the Pittsburgh city flag, which has an interesting origin story as well.
The first major team to adopt the colors was the NHL Pittsburgh Pirates in 1925.
The next team was the NFL's Pittsburgh Steelers (originally known as the Pittsburgh Pirates) in 1933.
The MLB Pittsburgh Pirates switched from Black & Red to Black & Gold in 1948.
The NHL Pittsburgh Penguins changed their colors in the middle of the 1979-80 season to match the Steelers and Pirates.
The story behind the Steelers logo and the three hypocycloids is pretty cool.