Sniper Elite 4 has 35 Collectible Locations in Mission 8: Allagra Fortress (3 Deadeye Targets, 5 Sniper Reports, 5 Letters to Home, 5 Letters from Home, 5 Last Letters, 8 Documents, 4 Duty Rosters). Finding all collectibles unlocks the following trophies / achievements:

The Collector [Silver / 25G]
A Bird in the Hand... [Bronze / 25G]
Greatest Hits [Bronze / 25G]

In total you can find 322 collectibles (50 Letters from Home, 50 Letters to Home, 50 Last Letters, 75 Misc Documents, 27 Sniper Reports, 40 Duty Rosters, 30 Deadeye Targets). The two Co-Op Overwatch missions also contain collectibles and are required for the trophies and achievements!

None of the Sniper Elite 4 Collectibles are missable. You can get missing items at any time via mission select. There is a collectible counter for each mission which shows exactly how many items of each type you have found.
Everything is saved automatically and instantly when you pick it up. You can return to the title screen without having to reach the next checkpoint. If you die you don't have to pick it up again.
A lot of letters, documents, sniper reports, and all duty rosters are loot from enemies. When looking at them with the binoculars it will say if they have a collectible item. You can also see their name through the binoculars, so compare with the name in the video to find the right person. Or simply kill everyone and loot the corpses.
Some of the collectibles are not from enemies and actually hidden in the game world. Deadeye Targets look like statues of stone eagles and you must shoot them down.

TIMELINE MISSION 8 - ALLAGRA FORTRESS:

#1 - Duty Roster #1 - 0:05
#2 - Duty Roster #2 - 0:29
#3 - Last Letter #1 - 0:50
#4 - Last Letter #2 - 0:50
#5 - Sniper Report #1 - 2:04
#6 - Sniper Report #2 - 2:43
#7 - Duty Roster #3 - 2:43
#8 - Last Letter #3 - 2:43
#9 - Sniper Report #3 - 2:43
#10 - Last Letter #4 - 4:12
#11 - Duty Roster #4 - 4:38
#12 - Last Letter #5 - 5:01
#13 - Sniper Report #4 - 5:39
#14 - Sniper Report #5 - 5:56
#15 - Letters from Home #1 - 5:56
#16 - Deadeye Target #1 - 6:12
#17 - Deadeye Target #2 - 6:36
#18 - Letters to Home #1 - 6:54
#19 - Letters from Home #2 - 7:11
#20 - Misc Document #1 - 7:38
#21 - Misc Document #2 - 7:45
#22 - Letters from Home #3 - 8:00
#23 - Letters from Home #4 - 8:13
#24 - Misc Document #3 - 8:32
#25 - Letters to Home #2 - 8:39
#26 - Letters to Home #3 - 8:49
#27 - Misc Document #4 - 8:56
#28 - Letters to Home #4 - 9:30
#29 - Misc Document #5 - 9:37
#30 - Misc Document #6 - 9:48
#31 - Misc Document #7 - 10:03
#32 - Letters from Home #5 - 10:17
#33 - Letters to Home #5 - 10:24
#34 - Deadeye Target #3 - 10:35
#35 - Misc Document #8 - 10:54

Keep in mind you must also find everything in the two Overwatch Co-Op missions (Compound & Railyard) to earn the trophies / achievements.