There’s a portion of the map where you and the gang are wanted dead or alive because of the ferry heist. Entering it for most of the game will get you a maximum wanted level, headhunters will show up, and eventually the game kills you. That restriction is lifted in the final act.
The world opens up once you get out of the snow and settle down in the Horseshoe Overlook camp. You’ll still have linear story missions to do, but you can start those whenever you feel like, and explore as much as you want.