The Saddlery appears in Lightseeker Camp.
On the top left of the map, near the topmost entrance, the Saddlery sits just off the path. Paladins entering the level can walk into the Saddlery instead of following the path. Those that do so disappear inside the building, emerging seconds later having gained a steed and turned into Cavaliers.
The Saddlery cannot be interrupted, and as it is so close to the entrance, the only option is to prevent Paladins from entering by blocking them with Barracks and defeating them before they have a chance to go inside.