Wild Chocobos roam the Overworld map in full view, they run away from you as you approach but you can 'herd' it into corners or walls to make them easier to catch.
The first time you will find them is after entering the Togoroth area in the final mission of chapter 2.
Be warned there are large behemoth type enemies also roaming the map that will chase you...don't fight them, they are at lvl99.