Collections consist of items that you can find in treasures in expedition lands (all lands except your Home Station). Exchange them to get prizes.
In the game there are different places where you can exchange collections. At Home Station you can view the collections in a special building.
In expedition lands you can access the collections from the sled, the ship, the tent or the hot air balloon, depending on the area.
If you have a collection that is complete, the icon with three stars will light up (in this building you can see all collections and rewards for them):
If you have completed a collection, click "exchange" and get a reward.