I actually watched a documentary about this from months ago and I have learned that it is mostly because of the sudden change in the baby's environment.
A newborn baby spent 9 months inside a mother's belly. In there, the baby is provided with all things that he/she will need and being there for months, the baby feels protected and feel comfortable inside.
However, after delivery, a newborn baby's environment suddenly change. He starts to see,hear,feel other things that he/she is not used to. The baby felt unprotected all of a sudden. That is the major reason why they cry after delivery.