That’s a very good question. The thing is, when you look at things like the big bang, which are so different from our normal experience that our intuitions no longer work, we can only look at the mathematics. In the case of the big bang (in the standard interpretation), the really crazy thing is this: there was no time before the big bang!
So conservation of energy (the fact that energy cannot be created) is true for the big bang: from the very beginning, the amount of energy has been the same!
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