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.
Keys come in different types and they can only open doors with corresponding colors (copper keys open copper doors only).
Mission 1: Keys 1
Mission 2: Keys 2
Mission 3: Keys 1
Mission 4: Keys 2
Mission 5: Keys 2
Mission 6: Keys 1
Mission 7: Keys 3
Mission 8: Keys 1
Mission 9: Keys 1
Mission 11: Keys 1
Mission 13: Keys 1
Mission 15: Keys 2
Mission 16: Keys 1
Mission 17: Keys 1
Mission 18: Keys 1
Keys: x1 Copper
After finding the first lost soul, jump across the broken walkway to the left to find this key.
Keys: 1 Argent, 1 copper
Copper: In the main hall, go upstairs to the right then continue to the room far ahead. You should immediately see this key.
Argent: [Requires: Eryx] After leaving the room with Sparda's painting, jump to the broken floor and continue shortly to find red crystals on the floor. Destroy it using the Eryx's stomp move.
Keys: Copper x1
On the way to the street where Kat is waiting, turn to the left to find a breakable door and a divinity statue. The key is inside, upstairs.
Keys: Gold, Argent
Gold: In a plaza with a small fountain fixture in the middle. There's an angel lift target at the edge of the building beside the broken street but you need to stand on top of the fountain fixture again then angel boost to get in range. Pull yourself up then enter the room full of red sacs. Exit through the open door to find a Gold Key outside.
Argent: [Requires: Eryx] After destroying the first camera, you'll be in the street again which will be destroyed. After going downstairs to the alley, turn to the right and watch a painted wall rush towards you. Destroy the wall using Eryx and find the Argent Key inside.
Keys: Argent, Copper
Copper: After defeating the hell knight in the wide platform of the first area, jump on the container vans to the right to find a copper key behind them. Check the video below.
Argent: This is found in the second, larger warehouse with floating container vans. The method to reach the key will be faster to watch so refer to the video below:
Copper: At the very start of the mission, turn around to find this on a lower ledge.
Keys: Argent, Copper x2
Argent: Once you reach the divinity statue, check the far side where it’s facing to find an angel lift target. Boost and swing towards it to reach the key
Copper: In the same room where the Copper Door is located, kill the two Rages first then use angel lift to reach the hallway. Don't continue yet; instead, turn around to find the key.
Copper Key and Door, Overturn
Copper: [Requires: Aquila] After taking a detour and landing on the area with container vans, turn around to find an angelic webbing. Destroy it using Aquila's charged attack to reveal an angel lift target. Swing to that side to find a copper key.
Copper Key and Lost Soul, Overturn
After reaching the wide, open area where you need to clear a few enemies, follow the main track and enter the gate to the immediate right to find more red orb sacs and destroy the angel web to proceed. You'll find another argent key at the end.
After getting the Devil Trigger ability, jump to the next building where two rages are waiting. There's a gold key in the platform above though it may be a bit tricky. You need to have Enemy Step to give you the necessary boost to reach that upper platform. You have to launch an enemy on the air, pull it quickly using demon pull and use the same enemy as a foothold to launch yourself a bit. Refer to the video to get an idea on how to pull this off.
After getting the soul in the green light corridor (#4 in this guide), continue downstairs left, then right then go past the lamp. Go upstairs and you'll see the copper key behind the counter. Smash the crystals blocking the way and grab the key.
Gold: 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
Keys: Copper x2
Once the mission starts, remove the container van by pulling it out of the way. Next, pull yourself to the car but don't stomp on the container vans ahead yet. Glide to the area to the left to find a copper key.
Shipyard Copper Key, The Trade
During the sequence in the street where you need to take out the train bridge, pull the bus ahead to create a foothold then check the platform to the left to find the copper key above.
Street Copper Key, The Trade
Gold: After reaching floor 105, go to the right (the side where the “1” is) and go around to find a key and two lost souls past an open shaft. The floating blocks will damage you so you have to wait for them to disappear then jump across to reach them.
Three collectibles, One Shaft, The Plan
Furnace of Souls
From the wide platform where you fought waves of enemies (and where soul #3 is located), head to the other side and jump on a few more platforms. Find an angel lift target to the right which leads to a cavern near the walls. Swing there to find an angel web. Destroy it and you'll find the ivory key at the end.
From the main hall, take the northeastern path this time. Once you encounter a chasm, look down and you should see another path leading to the left. Jump down and follow it until you find an Argent Key.