Yoshi is perhaps the only thing missing from Super Mario Odyssey. However, you can actually find him after you have defeated Bowser for good. This Super Mario Odyssey Guide will tell you how you can find Yoshi to be able to play in the game as Yoshi.
How to Play as Yoshi in Super Mario Odyssey
After you have defeated Bowser and have a little bit of time on your hands, go to the mushroom kingdom. Step out of the Odyssey and run up the path in front of you, over the bridge and towards the left side of the Peach’s Palace.
You will spot a little scarecrow here, throw Cappy at it and then follow the staircase up to the roof of the palace.
Get there before the timer runs out so that you can explore the rooftops. Head across the roof and around the main tower to locate Yoshi’s egg.
Now all you need to do is to hit it with your shell and he will pop out.
Not only can you ride Yoshi, but also you can throw Cappy towards him to be Yoshi. From here on you can do whatever you can to your brand new character.
Perhaps you can collect those apples to earn yourself some Power Moons.
You might also find Yoshi in some side missions in the Mushroom Kingdom. When you go down the tunnel, head towards the source of the river from the fountain and you will see a tunnel with an apple in it. Use Yoshi to get the apple and then head inside to find a playground for yourself to play in.