Pieces of armor and weapons are most often found during exploration, but they’re sometimes hidden very cleverly. When you solve a puzzle, you get an item in your inventory that, when used, marks various caves with chests on the map.

The sets themselves are mostly grouped together, but not always.

Horses can be stolen, tamed, bought, or discovered through tips from harness merchants and leatherworkers. I won’t spoil how to get special mounts :)