During Mission 7: The Flooded District you will be captured by Assassins and have your weapons and equipment taken from you. After escaping you will have an optional mission to recover your belongings, which is rather far beyond the main mission objective. To get to your belongings you need to go past the entrance to Daud’s Lair and head to the Greaves Refinery.
Once you get there you will have to find a way to activate the stairs using the whale oil, then make your way to the top of the refinery. Dispatch the assassins, lower the gate with another whale oil container, and descend to the bottom of the refinery to find your belongings. Once you pick them up the trophy will unlock.
Oddly enough this is one of the few puzzle sections in the entire game.
To see complete walkthrough of the route taken and puzzle solutions, please view the video below: