You can access the co-op mode of Mario + Rabbids Kingdom Battle through the Peach Castle area after you have completed World 1.5.
To access it, simply head to the Buddydome. This can be found by taking the path to the right of the castle. It is located in the first building you come to.
Press A to enter this building and follow the instructions on the screen.
The tutorial introduces you to the co-op features. Select the mission that you would like to play.
For an overview of this co-op mode, take a look at the video below: