Guinea pigs, rather surprisingly, are not related to pigs and they don't come from Guinea or even New Guinea. In fact they are a type of rodent and they originate in Latin America, in the Andes. There is a slightly different breed called the Brazilian guinea pig, from which the better known guinea pig (or cavy) may be descended.
Guinea pigs have been kept by the indigenous people of the Andes and other regions for hundreds of years, often bred for food but also regarded with affection.
It is not sure how they came to be called guinea pigs, and there is no equivalent for this in other languages apart from English. It is possible that explorers to the New World brought them back by way of Guinea. As for the pig part, that is the same in several other languages and is probably because of their plump little bodies and hearty appetites.
You can learn more about guinea pigs here.