We have documented cases of speciation. I'm not sure you know what "species" means.
The strict biological definition is, to paraphrase, a group of animals that can produce fertile offspring in the wild. However, grizzly bears and polar bears can produce fertile offspring, and their territories do overlap; plus there is no way of knowing from this definition whether populations that never see each other are of the same species. (No captivity, remember?) So it's been tweaked to include definitions via morphology and DNA.
So now you know what a species is. One species becoming another is not a dog becoming a cat or something like that. There is not a pre-defined list of species. It's something entirely new being created by pressures leading to natural, sexual, and kin selection, plus genetic drift resulting from mutations and migrations.
Let's say you have a population of white-tailed deer. Now let's say there's an earthquake which creates a wide, uncrossable river straight through the area, separating the two populations. Now there will be some randomness due to which deer ended up on which side - that's genetic drift. But the populations can no longer breed with each other, and will face slightly different pressures, especially if they geographically drift farther apart. Give it a few hundred or thousand years, and the two populations may be unable to produce fertile offspring with each other. Either they just don't feel attracted to each other (prezygotic) or the offspring is infertile or stillborn (postzygotic).
I hope I've clarified your question.
