To unlock the Locked and Loaded trophy in Red Dead Redemption 2, you must purchase an upgrade for each component of a weapon.
There is a gunsmith in Valentine which you can access in Chapter 2. Weapons will have three or four upgrades. Choosing to upgrade one of your early starter weapons will result in cheaper upgrades generally. Clear the list of upgrades and you should unlock the trophy.
Some have reported that the trophy has not unlocked immediately. Try restarting your game and the trophy should unlock.