*Minor spoilers ahead*
First of all, this is a fairly challenging feat. There are two things that increase your completion: chests and key parts. The chests are quite nicely visible on your map, so try to check it quite often. You should always open chests when they are in your path and you have the required skills, but it's not wise to go hunting them before you have all skills because you might end up taking a long detour and realize you don't have the required skill. I think the final one is Wall Fly. None of the chests are missable.
The hard part of this achievement is getting the key parts and their aftermath. After you collect all five key parts, you unlock The Crucible, which is the hardest part of the game. For this achievement you also have to complete the Crucible, because at the end you will be rewarded with the final chests.
Below is two videos, which show all the collectibles. The first vid by Shadiochao shows all the chests and it also has The Crucible challenges starting at 1:00:22. The second vid by PowerPyx shows how to get the key parts and also The Crucible challenges. Happy hunting and good luck!