Challenges are little map dependent tests. They're a lot like collectibles, but it depends on the challenge and they won't appear on the map ever. Most will require the player to return later. However I find the Pyromaniac challenge at the mountain temple is a bit easy to get early on in the game. A video below shows how to achieve it. You can also do ghost hunter (also below) a little earlier, but it's up to you. Just complete one fully and this will unlock.
All credit for the video goes to PowerPyx