So basically taming horses, donkeys and mules is the same. Mount them by right click. Then you'll be on top of the mob and you can see yours and it's health bars (if not in creative game mode). The horse/donkey/mule will throw you off a few blocks away from it without taking fall damage or any. Continue to try mounting it until you see hearts floating above it like when a mob is in breeding mode. Then it will be tamed.
Next off for the different mob you can put different things and there are different way to spawn/find/create them.
To get a donkey or horse just find a plain biome and search. They usually spawn there in groups of from 2 to 7 max. The chance a horse or a donkey will spawn is the same i think so you just need some luck on finding a donkey or if you are looking for all the different types of horses. if not you can just use a horse spawn egg to get what you want, weather it's a horse type or a donkey. To get a mule you need to breed a donkey and a horse since they don't spawn naturally and you can't spawn them with an egg. Mules can't breed with anything, horses, donkeys, other mules.
About the saddlebags. On a horse, once you tame it, press E while riding it or shift-right click otherwise to open it's inventory. There you can equip it with a saddle and one of 3 different armors (iron/gold/diamond).On mules and donkey you open the inventory the same way but there's only one slot-for a saddle. To put a chest on a mule/donkey hold the chest and right click the beautiful creature to equip. the you can open it's inventory lie usual and you will have 15 available slots to put anything you want.
Enjoy and sorry for the long post.