Dolphins are believed to have evolved from land animals.
About 45 million years ago, after dinosaurs disappeared from the earth, some mammals left the land to live in the ocean. These evolved into whales, dolphins, and porpoises. Scientists know this from fossils and because cetaceans have a small section of unattached pelvic bone inside their bodies. Scientists believe this unnecessary bone used to be a part of the bone structure needed to support hind legs when the ancestors of modern whales walked on land. Modern cetaceans don't need hind legs since they never go onto land for any reason. They have adaptations, special body structures and behaviors, which enable them to live their whole lives in the ocean.

Yes. They are marine mammals.
All dolphins and whales live in the water their whole life. They have adapted to life in the ocean and or rivers and could not survive out of water for long periods of time.

 

Check out cetacean evolution!
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Do dolphins live their whole life in the ocean?