Flintlock: The Siege of Dawn

You should naturally unlock multiple different armor sets throughout the game, which consist of a helmet, gauntlet, and pauldrons, but the first you'll get is likely the Sapper set. You get the gauntlet from the "Peacekeepers" side-quest, the helmet is unmissable from a main quest, and the pauldrons are found in a chest in the Workyard, which is fairly hard to miss. The achievement unlocks as soon as you have all three pieces of any specific set, no need to equip them at the same time.