You need to collect a total of 5 different items for this achievement to unlock
Most items can be found without trying, but you will need:
Egg - comes in bundles in a nest across all parts of the map at the start
Gold & Red Feather - Come sticking out the ground. Be sure to time it right before grabbing it. It will change colors and will count toward that color when you grab it.
Jinjo -You will get after the boss fight and clearing other main story/side missions
The last one you will collect will be the treble clef note (thanks AngryKamehameha) in Mayhem Temple. Its a note and you can pick them up off the ground
Thanks, hopes this make it easier for you....