To unlock the Breakout trophy in Red Dead Redemption 2, you must complete the early introductory missions of Red Dead Online.
The missions are pretty straight forward, so just follow the instructions on the screen and learn about life in Red Dead Online. Eventually, you will be asked to steal a horse. After delivering the horse to Clay Davies and receiving your reward, return to your camp and talk with Cripps to end the mission.
At that point, you'll have completed the intro of Red Dead Online and the trophy will unlock.