There are 16 Mask Shards. For every four that you collect you are awarded an additional unit of health.
7 Mask Shards can be found in static locations in the world. Many require the Mantis Claw, Crystal Core, and/or Monarch Wings to reach.
4 can be bought from Sly in Dirtmouth.
1 is given by the Grubfather after rescuing 5 grubs.
1 is dropped by the Brooding Mawlek in Forgotten Crossroads.
1 is a reward for defeating the Enraged Guardian in Crystal Peak.
1 is given by the Grey Mourner in Resting Grounds after completing the delicate flower task.
1 is given by the Seer in Resting Grounds after collecting 1500 Essence with the Dream Nail.This map
is a great resource for finding everything in the world. Use the control panel on the right to uncheck everything except "upgrades" so you can see the location of all Mask Shard (as well as Vessel Fragments, Pale Ore, spells and permanent upgrades). You can also choose to use the sketch map image (actual in-game map) rather than the detailed map image.
Additional information for each Mask Shard can be found on the Hollow Knight wiki