Jeffy x360a wrote a collectibles guide that if followed, will get you all 14 of the collectible related achievements in the game. Be sure to follow it closely because if you miss one, it is very difficult to figure out which one you missed. Also, it is important to note that if you collect some and die before reaching a checkpoint you will need to recollect them again. The items that are easily missed are #51 (puppet), #52 (puzzle piece), #76 (puzzle piece) and #86 (puzzle piece). These item numbers are from his guide.
The guide can be found at this link: Jeffy x360a's Collectible Guide