Note: Make sure to use dual-wielded weapons as much as possible until you unlock the associated perk (and achievement) and pick up every helmet (+5 armor) you can find so that you unlock the Armor Upgrade I perk by Chapter 3. This isn’t extremely necessary, and you can’t miss any of the achievements, but this will net you all of the perk-related achievements as efficiently as possible. When unable to dual-wield, make sure you take cover and get kills from cover for that perk, which you should finish by the end of the campaign.
Credit to Maka91 for the guide for Prologue Collectibles, including the nightmare level location if you prefer video over text.
Nightmare #1 – When facing the guy using a typewriter, turn right and go through the turnstile. Turn right again to face a door, and beside the door in the window, by a mic, grab the key. Go down the elevator and use the key on the gate to the right as you exit. Go down the stairs, and at the end of the platform below, on the left, interact with the bedroll to begin the nightmare.
Once you finish the tram ride with Wesley and have ‘infiltrated’ Castle Wolfenstein, the Undercover story-related achievement will unlock.
Continue toward the objective and take the elevator up. When you exit the elevator, kill the two nearby enemies without taking damage, which is easy to do by knifing them from behind. You'll get a checkpoint here, so look around and locate all the health packs before grabbing any. Before you pick up the big pieces of body armor, make sure you explore the back areas for some helmets, ammo, and additional health packs if you need them. Now, grab all of the heath packs quickly, and you should overcharge your health to at or around 270-300. This will unlock the Health Upgrade I & II perks, as well as the achievements.
By now, you should have the objective on the radio, so access it and get ambushed. Take out dual assault rifles and mow down 5 enemies before your health gets back down to 100 or below (still 101 or higher, aka overcharged), and you’ll get the Health Upgrade III perk and the related achievement as well.
Letter #1– When Wesley lowers a ladder for you after the ambush (which unlocks challenge map 1), climb the ladder and go right into an office to find the letter on the table.
When you are ready and have fully refreshed your ammo and explored to your liking, head to Wesley to head down an air duct and into a room with some not-so friendly Nazis. You'll get knocked out and the level ends.
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