The lockpicking minigame in Red Dead 2 can be accessed at any time, even during combat. To start, have your horse pulled up to a gate and get off. Walk up to the gate and hit the button to lower it. Turn around and go back to your horse.
If done correctly, the gate should have opened automatically. If not, hit the button again until it does.
Once inside, ride down the path until you reach a large building with a locked door. Get off of your horse and open the door with your key card. Once inside, head down the hallway until you come to a room with two doors on opposite sides.
The one on the right is unlocked, but the one on the left is not. The way to unlock it is by picking the lock with your lockpicks.
