Naturally occurring ponds don’t need a pond liner, since they have managed to establish on their own without drying up, and presumably will continue to do so. Man-made ponds, whether ornamental, recreational or practical, do require some level of work so that the designated area actually retains water and doesn’t lose it, whether over a few hours or over a few weeks. Even ponds constructed in an area where natural ponds exist will need work, even if it’s just some serious soil compaction. Simply put, any soil that’s uneven with rocks and air pockets won’t hold water. In other words, if it’s not already holding water from the last season’s rainfall, it’s not going to hold yours.
If you have high quality clay that’s easy to work and that maintains its shape in your proposed site, you may be able to get away with a DIY clay liner by renting a soil compactor (jackhammer style for small ponds, vibrating plate for larger ponds) and compacting the soil into a thick, heavy, uniform layer that’s impervious to water. Other soil types require geotextile liners for reliable water retention (unless you’d prefer to truck in several tons of clay and try for option one). There’s several types of geotextiles, including PVC (polyvinyl chloride), EPDM (synthetic rubber) and RPE (reinforced polyethylene). When selecting which one to use, you’ll want to consider how long you intend to keep the pond, whether you’ll be able to completely shield the liner from UV rays, the possible low range of winter temperatures in your area, and how much durability you want, especially from punctures and tears. If you’re considering an unconventional liner material like roofing membrane, on the other hand, keep in mind that many sheet plastics contain fungicides and other chemicals that can be deadly to fish.