This achievement is easiest when playing as Harald Bluetooth of Denmark who has the Ski Infantry as a unique unit. The Norwegian Ski Infantry replaces the Rifleman in the Industrial Era, so if you want to immediately go for this start the game in the Modern Era, this will even give you several Ski Infantry at game start. From that point, just move one of them into a snow tile to unlock the achievement.
Be aware, there is an odd bug where the achievement will not unlock if you have fast movement on, so turn that off in the options menu before moving.
It's also possible to get this as any other civ, but you must encounter a militaristic City-State that creates this unit themselves, become their ally, then have them randomly give you one. This is a lot more luck-based, so I would recommend only going for this if the opportunity pops up while going for other achievements.