Uh, it's a question with a well-known answer. When uranium and other heavy radioactive elements decay, they often do so via alpha decay. What's an alpha particle? Two neutrons, two protons. Eventually the alpha particle slows down and captures some electrons. What is it now? An atom of Helium-4.
If there is radioactive material buried in the earth (there is), and there are geological structures that trap it (there are), then there will be underground deposits of helium (specifically Helium-4).
Other than the fact that the same rocks trapping helium can also trap natural gas, though, there is absolutely no further relation between the two. Why would there be? Helium is also found with deposits of radon gas, where no methane is present. BFD.
Though, to be precise, helium is not as common on Earth as it is in the universe at large, because our gravity isn't strong enough to keep it around in our atmosphere for very long.
But it is made in big quantities by radioactive decay of elements inside the Earth. Whereupon most of it diffuses outward and escapes into space -- helium is a tiny, inert molecule which diffuses relatively easily even through many "solid" rocks. The only place it tends to pile up on the earth is inside relatively impermeable underground rock formations: The same ones that trap natural gas, and that often trap oil as well. That's the reason why helium and natural gas tend to be found together.
