[jaideepsingh]

For using black holes as a potential energy source, we have to find it first. There are a lot of potential candidates for black holes (binary stars, center of our galaxy), but we still haven't seen any direct evidence of their existence.

[tjradcliffe]

It isn't clear what "direct evidence" would be. We have the kind of perfectly ordinary evidence that is used to infer the existence of everything from the Higgs to neutrons: we see consequences of an entity that fits with a particular theoretical description.

The fundamental piece of evidence for black holes is the existence of compact objects with more than 1.4 solar masses. This is direct evidence. These things exist.

We know they can't be neutron stars because there is an upper limit on their mass due to nuclear physics. We therefore infer they are black holes (fully gravitationally collapsed objects) because "maybe the aren't" is not a compelling counter-argument.

If you're going to ask for "direct evidence" you need to be extremely clear what you mean, and your definition really should be such that the evidence we have for the existence of neutrons or muons counts as "direct". Otherwise, you will be in a position of insisting that we have a kind of evidence for black holes that we don't have for almost anything else, which is not something anyone is going to take seriously.