Horse Among Horse Thieves is the first full-fledged story mission in Red Dead Online. You receive it from Clay Devis. Reach the spot and start the mission by selecting matchmaking.
You start in a group of up to 4 players. Head to the place marked on the map to steal horses. Ride to the ranch pointed by Clay - you will have to defeat a group of outlaws. You and other players have to fight your way to the stable. Next, you have to steal a horse. This task is simple but remember that your team has a limited number of lives (displayed in the upper right corner).
Approach a horse and calm it down. Then, you have to ride on it to the appointed spot. A few enemies will try to stop you from reaching your destination. Keep covering each other until you reach Clay Devis.
You can now rename your horse, and buy horse insurance that will allow your mount to heal after it gets critically wounded. The last step is to purchase a saddle for your first mount in Red Dead Online.
Go to your camp and meet with Cripps. Watch a few cut-scenes. After that, you will unlock Free roam mode and complete the prologue of Red Dead Online. From now on, you can play with other players and look for adventures together.