What can I use to make watercolour brushes?
THE BRUSHES
Animal hair
While it will be hard (or unethical) to come by kolinsky, wolf, red sable, or even badger or squirrel hair, some types of hair that are appropriate for watercolouring can be acquired more easily:

Boar bristles (taken from the ears of hogs) are commonly associated with acrylic and oil paint use, as they are very coarse and not particularly absorbent, but they are very sturdy and can be used to add texture or to lift colour.
Similarly, ox hair (taken from the ears of cows) is quite rough, and also has limited possibility when it comes to watercolouring.
The coarse hair of ponies is soft and strong (see this answer as well).
Japanese sumi brushes make use of goat hairs, which are soft, quite absorbent, and can be used to make pointed brushes, probably making this your best brush hair.

Some of these can probably be found online; as-is, or as part of a product that you can take apart. Alternatively, there might be someone in your neighborhood that breeds any of these animals.
Note, however, that all of these easier attainable animal hairs (except goat) cannot be shaped into pointed brushes as the hairs are of equal width along their shafts. For finer brushwork I'm afraid you have to resort to using blends or synthetic fibers (or find a place rich with any of the above-mentioned wild animals and really scare them).
Synthetic material
Most of the mentioned hairs can be replaced by synthetic variants, but I'm not sure it's easy to find those sold wholesale, as (I presume) they are usually produced by brush manufacturers themselves. And while making your own blend of synthetic hairs from household products and toys might be fun and educational, it is probably more time-consuming and wasteful than it is productive.
You can always buy brushes and take them apart to create custom brushes, and blend different types of hairs to get satisfying properties, but that might not be what you are aiming for.

THE FERRULES
For the ferrules, you can use (non-corrosive) metal plates, string or (non-corrosive) wire, plastic, or feather quills.
These should all be easy to come by. You can use the quills from duck or goose feathers, but those of most other relatively large birds should be fine too.
You can use epoxy to fix the hairs in place.

THE HANDLES
Finally, the handles are usually made of wood or bamboo, but acrylic is also quite common. They are sealed and coated, to protect them against the (artistic) elements.
The handle is traditionally fixed to the ferrule with glue, but here epoxy could also be a viable or even sturdier alternative.

For more information, see here or here