A status challenge is a requirement by an airline with which you’re requesting a status match. It requires you to fly a certain number of miles/segments before the airline will match your current elite status.
Some airlines will even allow you to complete a challenge that gives you a higher level of status than you have currently.
For example, you may have Silver elite status with an airline and request a status challenge with another airline for their Gold level elite status.
An airline may offer a status match, a status challenge, or a combination of both.