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