Where do you get clay from?

Well you will have to mine it.

Mining it sounds pretty deep in the ground! In most places if you go into the garden and dig away the top layer of earth, which may only be 12 inches deep, then the more solid sticky layer underneath is some kind of clay. It could be any colour.
When a trench is dug, say for laying pipes in the street, it can be easy to see the layers of earth and clay.