Scapegoat is the half-brother of Etrigan and Merlin; their father is Belial, but they have different mothers. Etrigan was born first, and he was a terror even in Hell. Belial decided to have another child to control Etrigan, but Etrigan sabotaged the attempt. Belial thought he was fornicating with a Middle-eastern goddess, but she was actually a plain old goat. The child of this union was Scapegoat. Belial tried to get Scapegoat to control Etrigan, but to no avail--Scapegoat loved and worshipped his brother. Belial later had Merlin, who did indeed control Etrigan.
Scapegoat ended up living in Otherworld, a purgatory-like plane where evil people tried to rise over their past misdeeds. There, Scapegoat took on all the sins of humanity, having himself tortured every day for others' actions.