One of the most valuable of commodities in Red Dead Redemption 2 is gold bars. If you sell them to a fence, you can get $500 apiece. As such, they're fairly rare and can only be found in a few places.
One of easiest ways to get several in one go is to complete the Strange Statues puzzle.
To start the puzzle, you need to visit a location near Fort Wallace. West of the fort, a ways under the second "a" in the large "Ambarino" written on your map is Window Rock.
Here, if you travel up the mountain pass and enter a cave, Arthur will note in his book the cave paintings you see. If you look carefully, you'll find 2, 7, 5, 8, 3, 4, 6 on the painting - this will be important later on.
After Arthur made the note of the paintings, which are then marked as "Strange Statues", you need to head northeast of Bacchus Station, which is close by.
Right below the "i" in Ambarino, you'll find another location. Here you can find a crack through which you can access another cave. You know you are in the right place when Arthur makes another Strange Statues note in his book.
Inside the cave, you'll find seven statues that are mostly identical except for the number of fingers they are showing, and there is a pedestal in the middle of the room. Each statue also has a button. One of the statues is missing an arm which you'll find on the floor.
When counting the number of fingers, you'll find that they are 2, 7, 5, 8, 3, 4, 6 - just like on the painting. To complete the puzzle, you need to press the buttons of those statues that have prime number fingers, in sequence.
This means press the button on statues showing 2, 3, 5, and 7 fingers. Should you make a mistake, every statue has a second button on the rear that resets the puzzle. Upon correctly entering the sequence, the central pedestal will open up with three gold bars inside.