To create a new Animation Clip select a GameObject in your Scene, and open the Animation Window (top menu:) Window > Animation > Animation.
Click the Create button. Unity prompts you to save your new empty Animation Clip in your Assets folder.

When you save this new empty Animation Clip, Unity does the following:
- Creates a new Animator Controller Asset
- Adds the new clip into the Animator Controller as the default state
- Adds an Animator Component to the GameObject that you are applying animation to
- Assigns the new Animator Controller to the Animator Component
All the required elements of the animation system are now set up, and you can begin animating the GameObject.