First, you will need to find a horse.
Horses can be found in plains and savanna biomes.
You will need to attempt to ride the horse a few times
until it releases heart particles,
which means it has been tamed.
If you're holding any items,
the horse will not allow you to tame it.
Once tamed, click E while riding the horse
to access its inventory.
You can then give the horse a saddle
in order to control it
and ride in whichever direction you want.
Saddles can be found in chests, at dungeons,
bastion remnants, desert temples, end cities,
jungle temples, nether fortresses,
strongholds, or villages.
You can also equip the horse
with different types of armor to give it more protection.