Is CiviCRM support LDAP or not? can we have a connection between LDAP and CiviCRM in WordPress website or not?
CiviCRM's authentication is through the CMS - so you wouldn't connect CiviCRM to LDAP, you would use LDAP to authenticate to the CMS. All CMSes that support CiviCRM support LDAP authentication.
If you would like to use CiviCRM as your LDAP source (e.g. to populate an address book in your email client with CiviCRM contacts) you can use ldapcivi.