From Sahih Bukhari (Hadith 4213):
Narrated Anas:The Prophet (ﷺ) stayed for three nights between Khaibar and Medina and was married to Safiya. I invited the Muslim to his marriage banquet and there waa neither meat nor bread in that banquet but the Prophet ordered Bilal to spread the leather mats on which dates, dried yogurt and butter were put. The Muslims said amongst themselves, "Will she (i.e. Safiya) be one of the mothers of the believers, (i.e. one of the wives of the Prophet (ﷺ) ) or just (a lady captive) of what his right-hand possesses" Some of them said, "If the Prophet (ﷺ) makes her observe the veil, then she will be one of the mothers of the believers (i.e. one of the Prophet's wives), and if he does not make her observe the veil, then she will be his lady slave." So when he departed, he made a place for her behind him (on his camel and made her observe the veil)
Reference: Bukhari 4213