Caught in the wild, usually! When you're roaming around outside of a city, you're almost guaranteed to get attacked by a Pokémon. If it wants to battle you, that means it wants to test your mettle as a potential Trainer.

[ he takes out the Ultra Ball that he keeps Duraludon in, clicking the button in the middle to expand it from its ping pong ball-shaped portable form to the full, baseball-sized shape that fits in his hand. he shows it to Legion, his grip loose enough that they can take hold of it to examine if they want to. ]

There's no guarantee it'll obey you off the bat once you've caught it, but that's the start of your partnership.