If you were breaking through all mountain areas but still there was no iron to be found then this short guide is for you.
Guide to Find Iron
Usually there are about 3 small iron deposits that are visible at the start (turning off roof display may make them easier to spot).
In addition, several of the large mountains should have iron in their interiors.
To look for ores, dig a tunnel through the thickest part of the mountain, and if necessary a cross-tunnel or two.
Ores usually occur in large-ish patches, so you don’t need to dig away the entire mountain to check it.