The recent discovery of two detached black hole–star (BH–star) binaries from Gaia’s third data release has sparked interest in understanding the formation mechanisms of these systems. We investigate the formation of these systems by dynamical processes in young star clusters (SCs) and via isolated binary (IB) evolution, using a combination of direct N-body and population synthesis simulations. We find that dynamical formation in SCs is nearly 50 times more efficient per unit of star formation at producing BH–star binaries than IB evolution. We expand this analysis to the full Milky Way (MW) using a FIRE-2 hydrodynamical simulation of an MW-mass galaxy. Even assuming that only 10% of star formation goes into SCs, we find that approximately four out of every five BH–star systems are formed dynamically, and that the MW contains a total of ∼2 × 105 BH–star systems. Many of these dynamically formed systems have longer orbital periods, greater eccentricities, and greater black hole masses than their isolated counterparts. For binaries older than 100 Myr, we show that any detectable system with e ≳ 0.5 or M BH ≳ 10 M ⊙ can only be formed through dynamical processes. Our MW model predicts between 64 and 215 such detections from the complete DR4 Gaia catalog, with the majority of systems being dynamically formed in massive and metal-rich SCs. Finally, we compare our populations to the recently discovered Gaia BH1 and Gaia BH2, and conclude that the dynamical scenario is the most favorable formation pathway for both systems.