I had the same struggle with my first...
If you're near a bigger city, try searching facebook or meetup for mom groups in your area. The town I'm in has a group that does regular playdates and mom's night out stuff, and they charge $25/year membership fee (seems reasonable to me). You might also check your local community center. Ours does relatively cheap swimming lessons (~$80 for 8 weeks), and in the colder months, they would have a drop-in playdate once a week where kids could run around in their gym and play with their toys/other kids while parents supervise.
A few of the malls around here have play areas for kids that don't cost anything, and I've seen some mom groups do stroller workouts in the morning before the stores open.
I don't know what your religious bent is, but I've heard really good things about MOPs (Mothers of Preschoolers) groups and your kid can be any age (younger than kindergarten) for you to join. They are usually setup in a church/run by Christian groups, but you don't have to believe certain things to attend meetings (and they are free).
This one might be easier when your baby gets a little older, but sometimes you can meet friends at local playgrounds/fast food joints with playplaces. There's a chick-fil-a near us that does a free breakfast entree every Tuesday on random months so we'll go and get that and a coffee, and the kids can climb out some energy.
I think finding friends is hard, and nothing really worked for me until we finally started attending a church that had a lot of young parents (with a lot of SAH or WFH moms who were open to new friendship).