Just because Atreus is a deadly shot with his bow and arrow, and has a bearded pectoral muscle for a father, it doesn't mean he can't have the same concerns as any normal kid. Concerns like losing his toys. Let's help him get them back, yeah? The Lost Toys Artifacts can all be found during The Marked Trees, the first mission of God of War. That means if you miss one you can just backtrack before the end of the mission. You can also return to the location later in the game, so don't panic.
After finding all four Lost Toys you can sell them for 3,000 Hacksilver, which should definitely teach Atreus an important lesson about fiscal responsibility.
Where to find the Lost Toy Artifacts
Lost Toy Artifact 1
The first Lost Toy Artifact is right at the start of the game, where Kratos and Atreus live. When The Marked Trees story mission begins, Atreus will beckon you to go through the gate. Before you leave, just turn right and look along the wall to find the first Lost Toy, a frankly hideous troll thing.
Lost Toy Artifact 2
After you go through the gate, keep following Atreus until you reach some steps. At the bottom of the stairs is the second Lost Toy, this time it's a boat.
Lost Toy Artifact 3
The next Lost Toy is found when you reach the temple entrance area. Atreus will try and get you to go left, but you should go right to find a secret area. Keep following this path until you come to a chain dangling into a chasm. Climb down and you'll find a horse, the third Lost Toy.
Lost Toy Artifact 4
The final Lost Toy is also in the temple area. After you've gone down some steps, you'll find a door with a chain counter-weight system. Head in the opposite direction to the door, taking you outside to face some wolves. Kill them, and look for the last Artifact - it's a toy soldier.