How to record screen with the audio coming from your Mac?

Try using Background Music.

When recording with Quicktime click the arrow and change the microphone to Background Music.

You can record system audio with Background Music. With Background Music running, launch QuickTime Player and select File > New Audio Recording (or New Screen Recording, New Movie Recording). Then click the dropdown menu (⌄) next to the record button and select Background Music as the input device.

You can record system audio and a microphone together by creating an aggregate device that combines your input device (usually Built-in Input) with the Background Music device. You can create the aggregate device using the Audio MIDI Setup utility under /Applications/Utilities.

Edit: If you have homebrew installed you can install using brew install --cask background-music

^source