Usually crushed rock from a local quarry, called base, is used under the asphalt or concrete surface for roads. The asphalt and concrete itself is a mixture of sand, gravel, and cement.
Of course, there are also roads that are paved with stones as a surface layer, and this is especially common in Europe.
I took this picture in Albania. There is a river nearby, and these stones probably cone from it. River rocks are good for road surfaces because they usually have smooth surfaces.
I took this picture in Rome. Again, these rocks were probably sourced at an area where water runs or used to run.