Steal 5 horse from their riders, while remaining on horseback.

You can do this in the Colosseum where you can find riders roaming around. This doesn’t work when you steal horses from civilian riders, so you need to find guards who are riding the horses.

Once you steal a horse from a guard, run away from the danger zone. Don’t go down from your horse or get knocked off. If you do somehow get knocked down, you would have to start again. You need to steal 5 horses from the guards consecutively.

Watch the a detailed video here