To unlock the Anything You Can Do trophy in FIFA 19, you will first have to complete a few steps before you can take part in the mentor challenge.
During The Journey, when playing Alex Hunter, you will have to choose a mentor group when you are training with Real Madrid. Choose whichever one you wish, and then you'll be given a list of players from that mentor group to select as your mentor. Mine was Isco.
Once you have a mentor, you'll have to build your chemistry between Alex Hunter and the mentor in games (easiest if you take control of the team) by assisting goals for each other, passes etc.
Once the chemistry is high enough, you'll unlock the mentor challenge option after the weekly training session. Score more points than your mentor during the skill game and the trophy will unlock.