Observation is all we have. There’s no indication that anything outside the solar system is different from the things inside of it. Some stars have a light spectrum very similar to our sun, which implies they are stars in similar places in their life. Others have a light spectrum that is very different.
We can use different parallax angles to determine that some stars are much further away than others. Parallax works the same at 10 miles as it does at 10 light years.
Is there some particular observation you don’t understand?