At the beginning of the adventures of the main character in RDR 2 you will find yourself in the Northern part of the map. There is a gang of Linda, who is stuck in a snow trap. This is just the introduction, and as soon as it is complete, you'll be able to move in free way across the map. Complete all tasks and missions in the story. Here you will be able to get your first weapon.
To equip the weapon at any moment, you definitely need to be around your horse. Thus it is necessary to understand that one Arthur will carry a lot of weapons. The entire Arsenal is in the bag, which is on the horse.
So, well, how to obtain a gun in Red Dead Redemption 2. You will need to hold TAB to display the wheel with items. Now you can easily select your weapons including the gun. Any kind of weapon you can win the battle. The revolver will be available to you almost from the very beginning of the game - even in the introduction you happen to use it.
