This is from a post I wrote:
A few ways to 'find a problem':
1. Think about what’s broken in the industry you worked at or have expertise in. Make a list of all the things your previous employer lost money over (employees’ time is probably the most expensive resource). This list is essentially a list of potential companies. If for example, you were in the fashion industry, you might be able to come up with ways to solve the guesswork fashion brands need to do in order to keep up with the market trends.
2. Build something that solves a problem for you. Many companies started that way. Say you are trying to go on a keto diet, and you found a way that makes it easier. Chances are many other people would find it helpful and be willing to pay for it.
3. Research. You might know a specific demographic is experiencing several difficulties, but you don’t know exactly what’s the core problem. Start reading and writing about it. When I started Spectroomz I didn’t know it’s going to be a freelancing platform for autistic people. My son is autistic so I started researching on Reddit what would be his future biggest challenges. You can passively research (i.e. read), or do so actively (I actually posted that question on Reddit r/aspergers). Once I got a sense that one of the main challenges is employment, I started searching for more content on Google Scholar, corresponding and chatting with other autistics about it and more.
4. Important reading - Paul Graham wrote a great post on how to come up with startup ideas. http://www.paulgraham.com/startupideas.html
After you find the problem, talk to users as jppope said. In the blog post I share a format of how to talk to users which I simply summarized from a YC startup school lecture - https://spectroomz.typeform.com/to/HR5R10
If you have several ideas and want to assess what has most potential, you can use a startup evaluation tool I created (also following a YC startup school lecture) - https://spectroomz.typeform.com/to/imIL7z
Hope this helps.