How to checkout merge request locally, and create new local branch?

This is also documented in GitLab online documentation : https://docs.gitlab.com/ee/user/project/merge_requests/reviewing_and_managing_merge_requests.html#checkout-merge-requests-locally-through-the-head-ref

They supply this script (git alias) :

[alias]
    mr = !sh -c 'git fetch $1 merge-requests/$2/head:mr-$1-$2 && git checkout mr-$1-$2' -

Then you can use this command :

git mr origin 4

So a new local branch mr-origin-4 will be created.

You can also add the line

fetch = +refs/merge-requests/*/head:refs/remotes/origin/merge-requests/*

to your .git/config to have git fetch fetch all merge requests.

There is a Check out branch button in GitLab.

Then you can copy comments from Step 1. Fetch and check out the branch for this merge request.

git fetch <repo> <branch>
git checkout -b <branch>