The game has a total of 122 collectibles (80 Lost Souls, 21 Doors and 21 keys). Take note that you can't collect them all in one playthrough since you'll need certain weapons and abilities to reach them. You can freely replay the previously completed missions but I suggest going through the story missions without worrying about the collectibles that much then just replay the missions to collect all missed collectables.
The collectibles you find and collect are automatically saved so you don't need to wait for the next checkpoint to leave the mission. It is also suggested to acquire the ability "Leap" as it will be handy in further reaching hard-to-reach areas.
Secret Doors can only be opened by keys corresponding its color (copper keys open copper doors for example) and will lead to secret missions. These missions have different conditions to complete.
Mission 1: Doors 1
Mission 2: Doors 2
Mission 3: Doors 1
Mission 4: Doors 2
Mission 5: Doors 2
Mission 6: Doors 1
Mission 7: Doors 2
Mission 8: Doors 2
Mission 9: Doors 1
Mission 11: Doors 1
Mission 13: Doors 2
Mission 16: Doors 2
Mission 17: Doors 1
Mission 18: Doors 1
Doors: x1 Copper
This is found inside the horror/doll house. Head inside the building and continue until you reach a hallway with a mirror at the end. To the right lies a copper door.
Doors: x2 Copper
Copper: After getting the Demon Pull ability and returning to the mansion, jump down the hole on the floor then open the Copper Door for another secret mission. The secret mission is fairly simple so just kill all the enemies as fast as you can within the time limit.
Copper Door – Simple Eradication
Copper: [Optional: Angel Boost] After the mansion splits in two and you're chasing Eva's ghost, go up the corridor and destroy the angelic web blocking the path. Turn to the broken hallway to the right to find another room blocked by another angelic web. The location of this copper door is the same as the lost soul. (Secret Mission: Copper – Stylish Victory)
Doors: Argent x1
Argent: [Requires: Angel Boost] After the street where Kat is waiting gets destroyed, you'll have to return back to the plaza to defeat more enemies. After defeating them, new angel lift targets will appear. Grab the first one to enter a corridor in the second floor. Peek from the exit then angel lift to the left to access this Argent Door. (Secret Mission: What Goes Around)
Doors: Copper, Argent
Copper: After reaching the next area with a divinity statue, look up to find an blue crystal that you can pull yourself into to reach the blue webbing. Destroy it to find a copper door inside.
Argent: After destroying the camera in the same area where the divinity statue and copper door is located, stand at the edge of the ledge then double jump, angel boost then angel lift to the platform where the argent door is sitting.
Doors: Argent, Copper
Copper: After reaching the divinity statue, climb up the stack of crates and jump to the next stack. Continue climbing up then jump to the upper ledge to reach the copper door there.
Argent: Continue inside until you run into a divinity statue along the narrow corridors of the plant. You’ll eventually find a destructible door to the left which leads to an argent door. If you acquired the argent key earlier, you should be able to open this secret door.
Argent – Displaced Skirmish
In the second area, continue past the divinity statue but don't enter the main door yet. Turn to the left to find a copper door.
Doors: Gold, Copper
Gold: After reaching a large area with container vans nearby, Go down the ramp a bit, then jump to the ledge on the left. Rotate your camera to the right and you'll find another ledge to the side which leads to an enclosed floor with a Lost Soul and a golden door. (Secret Mission: Divergent Slaughter)
Copper: After stomping the elevator and smashing the floor, you’ll find yourself in another area. The door is right in plain view.
Copper Key and Door, Overturn
Doors: Argent, Copper
Argent: After reaching the divinity statue, check the alcove to the left to find a damaged door. Smash it open to find the door
Copper: [Requires: Aquila] In the start of the mission while following the harpies, you'll be in a tunnel that will stretch out. Before destroying the red crystals, you should see an angelic web across. Destroy it then go there. Head to the end of the corridor to find Copper door. (Secret Mission: A Taste of Heaven)
After clearing the room with divided floors, you'll find the gold door immediately as you head out.
After collecting lost soul #6 in this guide, continue further and you should find a Copper Door.
Doors: Argent, Ivory
Ivory: From the platform where you found the first lost soul, you'll find angel lift targets that will take you to the Gold Key and Ivory Door on both sides.
Gold Key and Ivory Door, Devil's Dalliance
Argent: After reaching the platform with a divinity statue turn around and check the lowered platform to find this door.
Doors: Gold, Copper
Gold: Once you found the floor 106 sign, go around and find the shaft in the middle. Boost to the middle and enter the door to the left to find a stairwell. Go up and you'll find a lost soul. Go downstairs and you'll find a Gold door.
Two collectibles, One Stairwell, The Plan
Copper: After getting the last soul, cross the sky bridge and head to the next building. Go past the elevator and check the side to find this door.
Copper Door, Floor 154, The Plan
Furnace of Souls
Continue until you reach the platform with a divinity statue on it. Swing to the other platform and defeat the enemies. Look over the edge to find a demon pull target. Use it to create a platform leading to a Gold Door.
Finally, make your way to the last generator through the northwestern path. Here, the last door and lost soul will be right in plain view so it's impossible to miss them.
Argent Door and Final Lost Soul, Demon's Den