There are a total of ten Matryoshka dolls that you must find. You can start looking for them as soon as the game begins. Seven of them can be acquired at any time in between chapters. However, three of them are missable!
All the missable ones are found during Lucy's chapter. I will give you a brief written guide for the missable ones. Refer to the video if you get confused.
*Credit goes to Ludophiles for making the video*
Missable doll one (2:47) - You will walk outside the home to Lucy's tree house. Climb the ladder and you will see a desk on the far side. Underneath the desk is your doll.
Missable doll two (3:06) - You will get trapped inside of a room with no doors. Lucy will be crying in the corner and a lone bird cage will be on the other side. Once the scene ends, you will be able to open a door. Open the door and hug the right wall. Behind a small mannequin will be your next doll.
Missable doll three (3:15) - You will go into a room with a bunch of wardrobes. Go straight ahead until you get to a wardrobe facing away from you. Should be the 3rd wardrobe in front of you. Open the wardrobe and pick up the doll.
Any questions, comments, concerns let me know and I will do my best to help!