One of the things that I find the most interesting about nuclear fission is that a full-fledged nuclear fission chain reaction probably could never occur naturally, and it could be argued that before July 16th, 1945, an explosive nuclear fission reaction never occurred anywhere else in the cosmos---unless there is alien life as intelligent and foolish as our own.
It should be qualified that nuclear fission happens all the time, and that as you are reading this, somewhere in your home, some uranium atom inside of steel, or wood, or your own body is splitting in two. And it would most likely follow that somewhere somewhat richer in uranium, some neutrons from such a fissioning bump into some other atoms and cause them to divide. Apparently, it is already established that some deposits of uranium have had enough radioactivity in them to change their isotope fractions and to create a large amount of heat. But that is not quite the same as the type of reaction you get from having a critical mass of pure, enriched isotope coming together in an atomic device.
The conditions with which nuclear fission can occur are fairly limited, and seem to be only possible by intelligent manipulation. Although elements usually occur somewhat close together, they are usually not in the pure, concentrated form that would be necessary to start a chain reaction. In other words, all that uranium, or thorium, is going to be mixed up in chemical compounds that absorb the neutrons, or they are just going to be physically scattered. Of course, this might not be the case in some alien planet's chemistry, but it would be hard to think up a chemical or physical system that would concentrate a rare element like uranium or thorium close together. Beyond the chemical improbability, there seems to be no plausible way to concentrate one isotope, such as Uranium-235, away from its chemically identitical fellow isotopes.
The only scenario I can think of for such a chain reaction to occur naturally would happen right after the explosion of a supernova. In such an environment, there would be plenty of very radioactive, short lived heavy elements, including transuranium elements. If such elements were to form into a large sphere, they could be joined close together, especially if there was also a large radial momentum that would work as a centrifuge. In these circumstances, it may be possible that a single type of radioactive isotope could be drawn to each other, leading to a chain reaction.
And if this improbable situation is not the case (and how would we know if it was), we can take something like pride in being the first creatures in the cosmos to discover and unleash the force of nuclear fission.