I got this on accident after dealing with the oncoming truck on the broken bridge early in the game.
There are several opportunities in the game to do this. One of the best ways possible is on Chapter 2-2, the train station. There are plenty of crossbow Majini in the area, and chances are that Sheva will be too distracted by the dogs to ruin your opportunity. Get close enough to one of the Majini so that your knife swing area touches near the tip of their crossbow and not them. Keep swinging the knife so that its hitbox immediately deflects the arrow shot at you. It's not always a guaranteed deflect depending on when the knife animation starts and ends however, so keep trying if you're not successful the first time.