You can get this Achievement right in Chapter 1: Lockdown. Don’t worry if you missed any collectible, you can replay any Chapter in Thief
- collectible one: The Glittering Plumage (can’t be missed?) from the Prologue
- collectible two: Jewelled Mask
- collectible three: Lyegrove’s Jewelled Mask
- collectible four: Amethyst Circle
- collectible five: Sootback Bracelet
If you have trouble finding those, here are some Screenshots from my other Guide
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