How are Deserts formed?

Air Movement!
Almost all of the world's deserts are made by the equatorial wind belts.
At the equator warm air is always rising because it is so warm there. This forms low pressure wind belts that blow north and south away from the equator.They blow in this direction due to Coriolis Force. As these winds move further away from the equator, they begin to cool and therefore, descend.
When the air descends(forming high pressure) at the tropics of cancer and capricorn it is too dry for clouds to form. No clouds means no rain and this makes/forms Deserts. E.g. the Sahara desert!

Relief Rain and Rain Shadows!
Rainshadow also produces Deserts.Sometimes moisture laden air which blows in from the sea has to rise over mountains that are in its path/way. As this air rises over the mountains it is cooled and condensation occurs. This in turn forms clouds which release the moisture that they have been saturated with. This rain/precipitation falls on the windward side of the mountains. The air then moves over the mountains onto the leeward slope, however it does not contain any more moisture, so the leeward side of the mountain and the land beyond the mountains get little or no rain. This is called a rain shadow area! The Gobi desert is produced by Rain Shadow.

Cold Currents also produce deserts.
The southwestern coasts of Africa and South America are swept by cold currents which rise from the ocean floors. These currents cool the air that passes over them, and this causes the water/moisture in the air to fall as rain/precipitation before it reaches the land. The Namib and Atacama deserts have formed because of these cold currents. 

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Relief Rain can be seen in this picture and also the Rain Shadow area on the leeward side of the mountain!

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The movement of cold water currents!

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Air Movement around the world! :]