To check which belts you unlocked, check your locker room upper floor. There will be a belt case that displays all of your unlocked belts.
Smoking Skull Belt - Win the Royal Rumble match in Season Mode. This means you CANNOT be a champion when you are near Royal Rumble time. I suggest declining every single championship match you are given. You will then get the Royal Rumble Storyline, where you fight in the Rumble. Million Dollar Belt - You must complete every Legend Challenge, which can be accessed on a TV at the bottom floor of the Locker Room. To earn legend challenges, you must unlock legends. Hardcore Belt - You must complete every Superstar challenge. WWE Championship Belt - You must win/successfully defend the championship at Unforgiven in Season Mode. World Heaviweight Championship - You must win/successfully defend the championship at Wrestlemania in Season Mode.
After you obtain all the belts, enter the WWE Shop on your PC to earn the achievement.