The Wild West isn't the same without a few good outlaws, and Arthur Morgan is one of them. He's one of the main protagonists in Red Dead Redemption 2, and his story revolves around surviving as an outlaw during the era of Western civilization's decline.
He's a hardened cowboy who has made the wrong choices, but Arthur remains fiercely loyal to his friends and family even in ways that seem unlikely given his rough exterior. Whether that means risking everything for his gang, or putting himself at risk in an effort to save the life of his worried old mother, Arthur doesn't shy away from what's best for those he cares about.
Throughout his story, Arthur's past haunts him and he is plagued by the thought that he is doing something wrong. This reaches a peak when he finds two crosses in his father's backyard. It traumatizes him, and he soon starts to believe that there is no good in living as a criminal.
But when he realizes that his past doesn't have to define him, he reminds himself that "there ain't no shame in looking for a better world." It's a simple and powerful quote, and it's an important message to convey to the characters you play as.
This quote is a great way to let the player know that John Marston, who was taken in by Dutch and Hosea Matthews as a child, has a responsibility to his wife and son. Although he loves the gang and is loyal to them, he is aware that he has to leave them or else his wife and son will die.