Scenario 1: If Campaign is not enabled in the account.
Go to: Setup> Sales> Sales > CRM List
Select the Lead source from the type filter
Click on New
Scenario 2: If Campaign is enabled in the account.
In this scenario, we will have to create the lead source as a campaign
Go to List> Marketing> Marketing campaign> new
Provide necessary details in the field such as Title, manager, category, Description, etc..