It could be a question in mathematics, but it is also a valid question in gravitation. Mathematicians would probably answer this question in a more formal way such that it could be overcomplicated for a physicist who just would like to, in a sense, demonstrate rather than prove.
You need to start from the definition of Riemann curvature tensor, namely,
$$
R_{\alpha\beta\;\mu}^{\;\;\;\nu} = \partial_\alpha \Gamma_{\beta\;\nu}^{\;\,\mu} - \partial_\beta \Gamma_{\alpha\;\nu}^{\;\,\mu} +
\Gamma_{\alpha\;\kappa}^{\;\,\mu} \Gamma_{\beta\;\nu}^{\;\,\kappa}
- \Gamma_{\beta\;\kappa}^{\;\,\mu} \Gamma_{\alpha\;\nu}^{\;\,\kappa}
$$
and then transform the connection $\Gamma$ under a general coordinate transformation. As you might know, the connection is not a tensor and it transforms non-homogeneously. However, the additive parts of the transformed connections would cancel out and make the Riemann curvature transform as tensor