Siegfried is the hero portrayed as the main character of the German Nibelungenlied epic. Prince of the Netherlands, he wields the precious sword Balmung which he received from the Nibelungen family and has fought in many campaigns and adventures. His most well-known feat is killing the evil dragon Fafnir. He then bathed in the blood of the dragon and has obtained an invincible body. In Fate/Apocrypha

Spoiler

He is the Servant of Gordes Musik Yggdmillennia as part of the Black Faction in the Turifas Holy Grail War. He killed himself and gave his heart to Sieg so that he would be able to live a full life. Sieg named himself this to honor Siegfried's sacrifice.

(Source: Type-Moon Wiki)