You cannot craft a saddle in vanilla Minecraft.
Find saddles in dungeon, temple, bastion, ancient city, and other loot chests.
Fish for treasure to get a saddle.
Trade with a master-level leatherworker villager for a saddle.
Loot a saddle from certain mobs or structures.
Use a saddle on a horse, pig, strider, or other rideable mob to equip it.