I want to know if the SaxParser comes with the JDK or JRE and also if so, from which version the parser is included?
No entity known as 'the SaxParser' exists. But 'a SaxParser' is part of Java.
Depending on what you plan to do you may want to use a 3rd party version. Many Oracle tools (e.g. sql developer) include jar files with sax parsing included.