Option 1 : Go to wordpress-root/wp-includes/functions.php
and search for "X-Frame-Options" and you will find the function
function send_frame_options_header() {
@header( 'X-Frame-Options: SAMEORIGIN' );
}
If X-Frame-Options is not defined inside your functions.php file, you just paste the code inside functions.php.
To Prevent the site from cross-frame-scripting in Wordpress use X-Frame-Options to SAMEORIGIN.
Option 2:
Or you can set X-Frame-Options from the .htaccess file which is situated inside the root folder of wordpress. Just paste the below code inside .htaccess file.
Header set X-Frame-Options SAMEORIGIN