Well, not so much the helmets as the guys under them. Slate has a helpful Explainer on how to become a UN peacekeeper.
Basically, UN member states contribute them, and they mostly come from poor countries because the UN pays them $1,028 per month, which is crap if you’re from the developed world but is quite a lot for major troop-contributing countries like India, Pakistan and Bangladesh (the 2005 monthly per capita income in the latter was $33.58). In such countries, the government typically takes a cut to cover expenses and contribute to the national coffers, while the individual peacekeepers are paid low wages that nevertheless beat what most people can earn back home. A problem with this scheme is that the UN peacekeeper salary is not nearly enough to pay for quality equipment and ammunition, so peacekeepers have been known to arrive on the scene underequipped and hungry, adding to the logistical crisis they’re supposed to be defusing.