There's "iCloud" and "On my mac", but not "from my mac".
Settings>icloud. Assuming you have already set up the connection to icloud (ID, password), then turn on Calendars on that screen.
If they don't appear, then log into icloud.com using a computer's browser and look at the calendars page. If empty, then you are not syncing calendars from your device to icloud. If there, then be sure Calendars is turned on in Settings>iCloud or System Preferences>iCloud.