Use a jack to get a wheel off the ground. Then grab the top and bottom of the wheel and try to move the wheel around a horizontal axis. If there is significant play, the bearing is probably broken. (With e.g. double wishbone suspension this could also indicate the suspension linkages are worn.)

Generally, ball or roller bearings should turn smoothly in the way they are supposed to go, and shouldn't have noticable play in other directions. If a bearing makes clunky noises or isn't smooth when it rotates, it should be replaced. I'd expect bearings like these to be sealed. If the seals fail, water and dirt can get in and destroy the bearing races and balls. Replace the bearing when that has happened.

If the wheel bearings are OK, it might be time to check the rest of the drivetrain. But first you need to ascertain that the problem is in the drivetrain.

So I would suggest jacking the vehicle up so the drive wheels are off the ground, and then engaging the engine to turn the wheels. If the sound is still there it probably is in the drivetrain, and you might be able to crawl under the cart to narrow down where the sound is coming from. Be safe when you do this.

Also check the wheel arches to verify that it's not one of the wheels rubbing somewhere.

Checking the drivetrain further will require some disassembly, and is probably best done in a workshop. Personally I wouldn't fancy lying on my back on the cold ground in winter working on heavy drivetrain components overhead.