See below the other answers where you can buy one in White Orchard. For other options to get saddlebags:
According to the Prima guide you can win them in horse races.
In addition to saving the Northern Realms from the threat of the Wild Hunt, there are additional activities you can try; and two of these pastimes are fistfighting and horse racing. The former allows you to hone your unarmed fighting skills, and should be undertaken after reading up on the Training section dedicated to this activity. The latter enables you to equip Roach with additional saddlebags, saddles, and blinkers that help you store more equipment, increase your horse’s Stamina, and reduce Roach’s panic level. All are well worth attempting; the horse races as soon as possible.
The location of the races:
- Races: Crow’s Perch
- Races: The Great Erasmus Vegelbud Memorial Derby
- The Heroes’ Pursuits: Fayrlund
- The Heroes’ Pursuits: Fyresdal
- The Heroes’ Pursuits: Kaer Trolde
- The Heroes’ Pursuits: For the Goddess’ Glory!
Gamezone says you can craft them:
- Extra storage can be made by crafting saddle bags for your horse.
This is from Eurogamer
Once you reach the bustling village of Midcopse, take some time to explore. The armourer has an interesting selection of goods, including two cryptic maps, a range of master and common crafting components, some diagrams, magic items and some pretty decent armour. The nearby merchant, meanwhile, can offer up new Gwent Cards, Horse Blinders to reduce your steed's Fear level, a Saddlebag to increase your maximum inventory weight, plus other treats.
Witcher wiki has a Saddlebag section that is a bit sparse as yet as the game only came out today. It will be updated to show all locations. You can view it here
Complete the quest: "Ladies of the Wood".
I finally found the Baron's wife, it turns out the part about investigating all remaining leads refers to the leads about Ciri. There are two quest series about Ciri in Velen, and at this point you have to follow the other quest series to complete the "Family Matters" quest, and "Ladies of the Wood".
Best Answer
I was searching for the same but having explored what I believe was the whole area of Kaer Morhen, I could not find them anywhere either. My conclusion is that the chronological implications in this game are simply badly implemented because this was not the only occasion when the plot didn't make sense and expected characters to be somewhere where they weren't, for example
I believe that sending people to Kaer Morhen serves only to prepare for
and the game doesn't acknowledge their presence before the respective main quest.
The story in this game is very enjoyable but at the same time it's very easy to miss important scenes. For example, I completely missed
and never expected that something as simple as
would result in a completely different main ending.