Picking lists can be printed from the the sales orders grid actions dropdown.

Admin > Sales > Orders

Select orders by using the checkbox next to them

Use the Actions dropdown to select the type of picking list to print

Print Picking List:  Print all as a single picking list.

Print Order Picking List: Print  per order picking lists


Example Picking List.


Example Order Picking List



Admin: Stores > Configuration > Sales > PDF Print-outs