Macroscopic rhythms are often signatures of healthy functioning in living organisms, but they are still poorly understood on their microscopic bases. Globally interacting oscillators with heterogeneous couplings are here considered. Thorough theoretical and numerical analyses indicate the presence of multiple phase transitions between different collective states, with regions of bi-stability. Novel coherent phases are unveiled, and evidence is given of the spontaneous emergence of macroscopic rhythms where oscillators' phases are always found to be self-organized as in Bellerophon states, i.e. in multiple clusters with quantized values of their average frequencies. Due to their rather unconditional appearance, the circumstance is paved that the Bellerophon states grasp the microscopic essentials behind collective rhythms in more general systems of interacting oscillators.