The cunning goblins
This collectible item can be found in the first chapter of the game titled "Long Time No See", it is also a story based collectible item so to progress you will need to collect it. The first of the goblins is found by Alyson in a small box under his bed. The second can be picked up by Tyler on his desk.
The mad hunter
The second collector's item can be found in the chapter "A Big Wooden House", as the twins try to find a way to enter their old home. After getting the screwdriver, which you will use to unscrew the wooden planks blocking the crawl space under the house, you will have to take a left and walk to a dead end, then take another to the left and you will see an opening to your right. . Walk through it, and on your right will be The Mad Hunter lying on the ground.
The wise princess
In the same chapter as the last collector's item, inside the Ronan House, while exploring the twins' shared memories, make your way to Mary-Ann's bedroom and you'll see The Wise Princess collectible on the floor to the right of the bed.
The pious pelican
This collector's item can be found in the "Rashomon" chapter. After shopping, Tessa will arrive and you will have a chat with her. Once the conversation is over, enter his office. To the left of his office desk is a cabinet with the Pelican Stakes sitting on a cardboard box next to a green book.
The ice king
This collector's item can be found in the final chapter, “To Serve and Protect”. After a while you will have access to the break room with Agent Brown's key. After having a coffee, you will then have access to the interrogation room. Enter and to the back of the room you will see a blue cabinet. Behind that and on the ground, the Ice King waits to be picked up.
These are the five collectibles available in the first episode of Tell Me Why. By following this guide, you should be able to find them all in no time.