The quest giver is called Margaret. The circus caravan is located north-west from Saint Denis and west from Bluewater Marsh. The picture above shows the exact location where you can start this quest. Your first objective is to find the zebra.
Finding the zebra
The zebra is a little bit to the west from Emerald Ranch. It turns out that the zebra is really a mule. Get off your horse and start moving slowly towards the “zebra”. Remember to keep pressing the button to calm the animal down. After that, you can mount your horse and run towards the circus caravan. The mule will follow Arthur.