This is a checklist I made back in 2020 when I first played the game. It is based on this article.
I tried to sort it by priority; what you should be collecting first.
Since it is an old thing, I think this list may miss some things from the article; I'll add that in the following days.
- Mining Company Letter to Cornwall — during "Who the Hell is Leviticus Cornwall?"
- Oil Company Letter to Cornwall — during "Who the Hell is Leviticus Cornwall?"
Last chance before "The Sheep and the Goats"
- Charles Smith — Hunting
- Javier Escuella — Home Robbery
- Lenny Summers — Five Finger Fillet
- Charity Handbill — Thomas Downes's table on Valentine
- Dutch's Speech Notes — near a broken wagon on Horseshoe Overlook
- Abigail Roberts — $5
- Jack Marston — Penny Dreadful's Comic Book
- Jack Marston — Thimble
- Javier Escuella — Oleander Sage
- Mary-Beth Gaskill — Fountain Pen
- Sean MacGuire — Kentucky Bourbon
- Simon Pearson — Unskinned Rabbit Carcass
- Money Lending and Other Sins I & II
- Pouring Forth Oil II
- We Loved Once and True I - III
- Antique Watch — drawer on Wróbel's house, you have to open it during the collecting without taking what's inside (after you leave, come back for it)
- Errand Boy — deliver 5 camp companion item requests
- Friends with Benefits — complete a companion activity in each camp
- Give to the Poor — donate $250 to the gang tithing box
- Javier Escuella — Rescue Bill Williamson (available after "The First Shall Be Last")
- Bill Williamson — Hair Pomade
- Charles Smith — Moonshine
- Charles Smith — Oleander Sage
- Dutch van der Linde — Pipe
- Hosea Matthews — The Case of the Shrew in the Fog Book
- Lenny Summers — Pocket Watch
- Simon Pearson — Naval Compass
- Susan Grimshaw — 2x Oregano
- Letter from St. Luke's Academy — looted from workers at Appleseed Timber Company (also restricted to the event duration)
- Bucket Hat — worn by workers at Appleseed Timber Company (also restricted to the event duration)
- Good, Honest, Snake Oil
- A Zoological Compendium of Earth's Creatures — Arthur's tent
- Chelonian Handbill — Saint Denis
- Letter from Ms. Hobbs — after "A Better World, A New Friend"
- Rambles through Woods and Plains — Arthur's tent
- Appleseed Timber Company's — 1st 4 stages
- Castor's Ridge's — 1st 4 stages
- Central Union Railroad Camp's — 1st 3 stages
- Classic Raccoon Mountain Hat — from Jon at the Saloon
- Newsboy Cap — from enemies during "The Sheep and the Goats", "An Honest Mistake" and "Just a Social Call" (your last opportunity is a random event during Chapter 6: the hat is worn by an oil wagon driver near the bridge between Strawberry and Riggs Station)
- Van Horn Mansion
- Braithwaite's Secret — outhouse near Braithwaite Manor
- Arcadia for Amateurs III
- Fundraiser
- Carolina Parakeet — study one before leading all 25 of them to extinction
- Bride Photograph — from the corpse of Jim, near the crashed wagon northeast of Strawberry
- Letter to Edmund from Mother — during "American Dreams"
- Letter to Mayor Timmins from Belinda — loot Nicholas Timmins
- Letter to Nigel from Tom — loot Gavin's friend
- Letter to Pa — loot a rally member during any Ku Klux Klan's chance encounter
- Letter to the Editor — during "American Dreams"
- Meeting Notes — loot a rally member during any Ku Klux Klan's chance encounter
- Murfree Brood Prisoner's Note — loot a hanged person
- Murfree Brood Ransom Note — loot a hanged person
- Night Folk Victim's Note — loot a hanged person
- Night Folk Wagerer's Note — loot a hanged person
- Wild Man's Journal — kill the wolf after following the Feral Man to his cave (3rd encounter)
- Fisherman's Hat — knock Jeremy Gill's hat off his head before triggering his quest
- Liberty Hat — worn by an enemy during "An American Pastoral Scene" or worn by a hogtied man during the stranger mission "A Fine Night For It"
- Native American Ring — loot a drunk man at a campfire (random event)
- Flaco's Revolver — loot Flaco during "The Noblest of Men, and a Woman"
- Granger's Revolver — loot Granger during "The Noblest of Men, and a Woman"
- Midnight's Pistol — loot Midnight during "The Noblest of Men, and a Woman"
- Ornate Dagger — loot the Vampire
- Rare Shotgun — loot the Hermit (northwest of Annesburg)
Last chance before "Blood Feuds, Ancient and Modern"
- Bill Williamson — Coach Robbery
- Javier Escuella — Fishing
- Kieran Duffy — Fishing
- Micah Bell — Five Finger Fillet
- Sean MacGuire — Coach Robbery
- Sean MacGuire — Home Robbery
- Tilly Jackson — Dominoes
- Letter to Angelo Bronte — during "Blood Feuds, Ancient and Modern"
- Mine Share — during "Magicians for Sport"
- Hosea Matthews — 2x American Ginseng
- Kieran Duffy — 2x Burdock Root
- Molly O'Shea — Pocket Mirror
- Tilly Jackson — Necklace
- Money Lending and Other Sins IV
- The Course of True Love I - III
- Gold Shield — during "Blood Feuds, Ancient and Modern" (on the same room as the "Letter to Angelo Bronte")
- Rare Rolling Block Rifle — loot a bounty hunter during "Magicians for Sport"
- Sadie Adler — Harmonica
- Lion's Paw — after killing the lion during "He's British, of Course IV" (loot it)
Last chance before "Banking, the Old American Art"
- Anthony Foreman — he will not be available to hunt down in the epilogue if you kill him during "No, No and Thrice, No"
- Charles Smith — Bank Robbery (Special/Ultimate Edition content)
- Lenny Summers — Coach Robbery
- Micah Bell — Coach Robbery
- Simon Pearson — Hunting
- Uncle — Rustling
- Letter to Bronte from the Mayor — during "The Gilded Cage"
- List of Accounts — during "Revenge is a Dish Best Eaten"
- Telegram to Police Chief Lamber — during "Revenge is a Dish Best Eaten"
- Theatre Ticket — during "The Gilded Cage"
- Brothers and Sisters, One and All
- Fatherhood and Other Dreams I & II
- Help a Brother Out
- Money Lending and Other Sins V
- Electric Chair Blueprint — during "The Mercies of Knowledge"
- The Mercies of Knowledge I - VII
- Inventor's Note — during "A Bright Bouncing Boy"
- Inventor's Plan — during "A Bright Bouncing Boy"
- Calloway's Revolver — loot Jim Boy during "The Noblest of Men, and a Woman" (available after "A Fine Night of Debauchery")
Last chance before "Paradise Mercifully Departed"
- Blue & Yellow Macaw
- Great Green Macaw
- Rainbow Boa Snake
- Red-Footed Booby
- Red-Tailed Boa Snake
- Scarlet Macaw
- Sunglow Boa Snake
- Sun Hat — loot an enemy during any mission at Guarma
- Letter from Charlotte — during "Charlotte Balfour"
- The Widow of Willard's Rest
Last chance before "The Fine Art of Conversation"
- Letter to Tom from Colm — during "Mrs. Sadie Adler, Widow"
- Archeology for Beginners
- Honor, Amongst Thieves
- Money Lending and Other Sins VI & VII
- Mrs. Sadie Adler, Widow I & II
- The Course of True Love IV & V
- Do Not Seek Absolution I & II
- Of Men and Angels
- Owl Feather Trinket — do not kill anyone during "Archeology for Beginners"
Last chance before "American Venom"
- John's Gambler's Hat — worn by himself after "Simple Pleasures";
- Worn Flat Cap — worn by himself during "The Wheel".
- Charles Smith — Eagle Feathers
- Uncle — Home Remedy Ingredients