Making a covenant was literally to cut a covenant.
Originally this terminology came from the practice of passing between pieces of a cut-up animal. The thinking was that if either party failed to keep the covenant, they should be cut up just like the animals were (Genesis 15:9–18).
In the context of Ezra 10, the making of a covenant involved collectively swearing an oath to observe certain stipulations of the law (sending away the foreign women) and to have the names of those taking the oath recorded (cf. 2 Chronicles 15:8–15; 2 Chronicles 29:10; Nehemiah 9:38).1
3 Therefore let us make a covenant with our God to put away all these wives and their children, according to the counsel of my lord and of those who tremble at the commandment of our God, and let it be done according to the Law.