A COMPLETE guide of all 110 collectibles & 15 Weapon Upgrades in Sniper Elite 3 can be found HERE
The collectibles, including War Diaries, Collectible Cards, Sniper Nests, Long Shots & Weapon Upgrades are found within the 8 story related missions of the game. Upon picking up the last collectible of each variety, you will be rewarded the achievement(s).
You can check your progress using the menu at any point (except weapon upgrades) during the game as well, and picking one up will save it immediately. Feel free to replay missions to pick up anything you've missed.
Alternatively, please see this video which is the beginning to the collectibles guide video playlist