The Endless

It seems, after having abandoned his duty as one of The Endless Destruction came to truly understand what The Endless are. He says that they are simply patterns, ideas, repeating motifs and makes it clear that for their functions to be performed, no actual intervention is required on their part. In fact he goes on to say The Endless have no right to interfere with the lives of mortals.
Also, he explains his own theory about what each of The Endless represent saying that he symbolizes creation, in this same way he goes on to say that Death is to life as Despair is to hope, Desire is to hatred and Destiny is to freedom. When Dream questions what he would be in this all, Destruction says, "Reality, perhaps?" This seems to shake the very foundation of what The Endless are, as most of the others see themselves as bound to their duties while Destruction makes it very clear that without them all will go on, perhaps more sporadically, but it will continue.
Neil Gaiman has also added in the foreword to The Sandman: Endless Nights, that The Endless are not to be seen as gods, for gods need to be believed in to exist, The Endless will continue existing whether we believe in them or not, for they are The Endless.
Another thing that should be brought up is that although the first eight of The Endless may have never been human and the original seven may have never been anything but The Endless, the ninth was originally Daniel Hall, a mortal babe who was made Dream when forces outside of his control made it necessary that he take on the role, for although you can abandon your duties, there must always be one to hold the mantle of each of the seven Endless.
One thing about The Endless that seems to support the idea they were once "mortal beings" of sorts is the fact that they have been known to reproduce and bear, at least partially, human offspring.
In Sandman: Overture, which narrated the battle of Morpheus which lead him to his imprisonment, the parents of the Endless were revealed as Time , the embodiment of all time itself, father of The Endless, and Night, the embodiment of the infinite darkness that existed before the dawn of the universe and mother of The Endless.