Kraft brand jet-puffed marshmallows are made with pork-based gelatin. The jet-puffed marshmallow creme made by the same brand does not contain gelatin. The gelatin in desserts, such as marshmallows, comes mainly from pig skin.
Gelatin is a colorless, flavorless thickening agent that is usually used to give body to desserts and molded salads. It is a byproduct of meat processing. Gelatin is derived from collagen, which is a protein often collected from animal skins.
Originally, marshmallows were made with sap from the root of the marshmallow plant, which is where the candy gets its name. The marshmallow root was replaced with gelatin, which is still an ingredient of marshmallows.