A dozen of patches of polarized radio emission spanning tens of degrees in the form of coherent and stationary loops are observed at radio frequencies across the sky. Their origin is usually associated to nearby shocks, possibly arising from close supernovae explosions. The origin of the radio Loop XII remains so far unknown. We report an anti-correlation of the radio polarized emission of loop XII with a large patch of soft X-ray emission found with SRG/eROSITA in excess of the background surface brightness, in the same region. The soft X-ray seemingly coherent patch in excess of the background emission, which we dub as the Goat Horn complex, extends over a remarkable area of $\sim 1000$ deg$^2$ and includes an arc-shaped enhancement potentially tracing a cold front. An anti-correlation of the X-ray intensity with the temperature of the plasma responsible for the X-ray emission is also observed. The X-ray bright arc seems to anticipate the radio loop XII by some degrees on the sky. This behavior can be recast in terms of a correlation between X-ray surface brightness and radio depolarization. We explore and discuss different possible scenarios for the source of the diffuse emission in the Goat Horn complex: a large supernova remnant; an outflow from active star formation regions in nearby Galactic spiral arms; a hot atmosphere around the Large Magellanic Cloud. In order to probe these scenarios further, a more detailed characterization on the velocity of the hot gas is required.