First, perform these steps:
1. Look about for a female, a trainer, or a breeder who may be searching for an egg. Humans are typically easier to find; as eggs are valuable to one’s team, a trainer who had lost an egg will usually be searching frantically for it. Wild pokémon are typically harder, as new mothers will shy away from human contact to avoid attracting attention and thus drawing predators to herself or the rest of her clutch. However, you can look around your neighborhood for any sign of a new nest. If you can find any identifying marks on your egg (patterns, for example), try to match that pattern with eggs you find in the wild. You can also look online to determine what the species of the egg is by searching for its pattern.
2. If you can’t find anyone on your own, assess the situation a little more closely. If one or both of your pokémon seem aggressive when you approach the egg, you may wish to consider keeping it and allowing him and his partner to complete their nest. It’s likely that the egg may be a rescue or may actually belong to one of your pokémon. Depending on your place of residence, one of your pokémon may have encountered a wild ditto or a stray female, or one partner may actually have been a ditto in a long-term Transform. Whatever the situation, it’s still a possibility that your pokémon have acquired the egg via perfectly natural means, if they haven’t simply adopted it themselves.
3. If your pokémon seem rather ambivalent to the egg and are simply constructing a nest because it’s the natural thing to do, consider taking the egg to your nearest pokémon center or breeding center—or at least inform either that you found an egg. If no one comes to claim the egg, allow your pokémon to take care of it and try to figure out based on the egg pattern what hatchling you should prepare for.
Best of luck, anonymous!