Depends on the wallet. But there are plenty of wallets in the past which have generated insecure entropy and users have ended up losing coins, and plenty of people who have tried to come up with their own solutions and ended up losing coins. By far the safest thing to do is to stick to some tried and tested, open source, and verified software, such as Bitcoin Core or Electrum.

Most good wallets will be based on entropy directly from the OS and the computer's hardware. Bitcoin Core, as an example, draws entropy from /dev/urandom (which is from the OS, or the equivalent on non-Linux systems), RDSEED/RDRAND (which is from the processor), and a whole host of data from the computer itself, such as current resource usage, timestamps, kernel parameters, network data, version data, etc. All of this is then combined through a variety of techniques such as XORs and hashes, so if one source of entropy is weak or compromised then your final result should still be secure.

You can read more in the code here:
https://github.com/bitcoin/bitcoin/blob/master/src/random.h
https://github.com/bitcoin/bitcoin/blob/master/src/random.cpp