Thunder Stone Ore can be found in stone that has been struck by lightning, and under Mountain Raid Dens. This is most easily accomplished using the Lightning Bolt external move, but occurs though natural lightning as well. When mined, it drops a Thunder Stone shard, several of which are needed to make Thunder Stones. A pickaxe is needed to mine this ore.
Trivia
Prior to version 9.0.0, the Ore could be found naturally in stone at height 74+, primarily in Extreme Hills due to their heights.