I have always taken the existence of inertia more or less for granted, as an observational fact that does not require explanation.
But on reflection this is an unscientific attitude, and perhaps there exists a deeper reason for the existence of inertial mass. Of course, in the absence of an explanatory theory of inertia that makes testable predictions we should be wary of ascribing importance to an observation that seems to stand by itself, but that does not mean the question is somehow beyond the realm of scientific inquiry.
Happily, in (1) Sciama put forth the bold hypothesis that the inertia of a single object is due to the action of the mass of the rest of the universe (since becoming aware of this I have found various other theories of inertia of greater or lesser cogency, but many of them seem to veer into quackery).
Sciama also worked out a prediction of his theory - that is, his theory is falsifiable. Specifically, the gravitational constant becomes a function of the distribution of matter in the (presumably observable) universe, so that a precise value of G predicts a value for the mean density of the universe.
The value provided in the original paper of 1953 is $\rho \approx 5\times 10^{-27}g cm^{-3} $ , which Sciama argued was not incompatible with the observational estimates of the time ($\rho \approx \times 10^{-30}g cm^{-3}$).
A quick google search (e.g. https://wmap.gsfc.nasa.gov/universe/uni_matter.html) suggests current estimates are around $9.9 \times 10^{-30}gcm^{-3}$, i.e. still of the same order of magnitude as in the 1950s(!).
Is this sufficient to definitively falsify Sciama's theory (which made numerous simplifications), or are there reasons to doubt this quantity?
(1) Sciama, Dennis William. "On the origin of inertia." Monthly Notices of the Royal Astronomical Society 113.1 (1953): 34-42. https://doi.org/10.1093/mnras/113.1.34