In Red Dead Redemption 2, there are a lot of trophies and achievements you can unlock. In order to achieve 100% game progress, you also have to unlock this trophy.
Locked and Loaded
Upgrade each available component for a single sidearm or longarm weapon.
An overview of all trophy guides can be found right here, and we also have a complete RDR2 Wiki.
Go to a gunsmith (marked on the map in towns), for example, there is one in Valentine. Interact with the gunsmith with L2/LT and hold square (PS4) or X (XB1), adjust. Now choose a weapon and components. Then change each component. For example, the basic Double-Action Revolver has these 4 components: Grip, Barrel Length, Barrel Rifling, Iron Sights.
If you do that it will cost you a few bucks, if you want to save money, save manually before.
How did you get the double action revolver mine is still locked even after finding it in gtao and completing the headshot challenge?