What sort of jelly? ( US calls jam 'jelly', jelly beans are different things, etc)
For a jelly dissolved in water for a dessert, it can have : vegetable gelling agents, stabilisers, food colouring e.g. for yellow jelly, tartrazine (or E102) or maybe sunset yellow (or E110) and salt. Fruit based acids - or chemical acids ie petroleum derived flavourings add a flavour to the base.
China is actually a large producer of the food additives put in processed foodstuffs as these ingredients mostly come from the oil industry, and the refining industry in China is well set up to develop the type of additives the processing and ingredient companies use.
A 'water' jelly can also be a propylene glycol with colour / flavours - depends on the brand to be honest.... Could also have a fish/pig/beef derived gelatin - bones and/or hide is boiled and processed to produce the glutinous gelatin - been done for centuries to get the by product......
The answer to your question depends upon where you live!
In the USA, 'jelly' refers to what we Brits call 'jam'.
However, I'll assume that you're probably in the UK. In which case, you presumably mean the stuff which ends up all over the floor, the table and the kids, at any proper British children's party ;-)
The principal ingredient of British 'jelly' is gelatin. You'd probably rather not know where it comes from, but here's your answer: http://en.wikipedia.org/wiki/Gelatin_dessert