You should get SSH hostkey fingerprint along with your credentials from the server administrator. Knowing the hostkey fingerprint and thus being able to verify it is integral part of securing SSH connection. It prevents man-in-the-middle attacks.
In a real world, most administrators do not provide the hostkey fingerprint.
In order to obtain the fingerprint yourself you need to connect to the server. Before doing that make any possible precautions to ensure security of your local machine and line to the server. For example if you need to obtain the hostkey to automate connection to the server from an external site (e.g. from home or client), but you have physical access to the server site, connect from the server site (e.g. your workplace).
You can also ask anyone with physical access to the server (ideally the administrator). Hostkey is only one and hence the same for all users. Also note that host key fingerprint is generated from public key part of the hostkey only. So it is not secret and can be safely sent over insecure communication channels.
Once connected, go to Server and Protocol Information Dialog. See the Server Hostkey Fingerprint box.
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