We present medium-resolution optical spectra of the secondary star in the high Galactic latitude black hole X-ray binary XTE J1118+480 and determine the abundance of Mg, Al, Ca, Fe, and Ni in its atmosphere. For all the elements investigated, we find supersolar abundances; thus, we reject the hypothesis that the black hole came from the direct collapse of an ancient massive halo star. The compact primary most likely formed in a supernova event of a massive star whose nucleosynthetic products polluted the secondary star. The observed element abundances and their ratios can be explained using a variety of supernova models with a wide range of metallicities. While an explosive origin in the Galactic halo or thick disk cannot be discarded, a metal-rich progenitor is clearly favored by the observed abundance pattern. This suggests that the black hole was produced in the Galactic thin disk with a violent natal kick, propelling the X-ray binary to its current location and orbit.