When you first reach Helheim and leave the Temple, head to the eastern corner to find this piece of jewellery hidden in the snow.
As you press onward into Helheim and reach the locked gate, you’ll burn some brambles to reach a side path. Follow this path to the end and use the blocks to climb to the bottom where you’ll find a weapon rack in the corner. Search the pillar here to find some bramble on the side of it, burn it away to dislodge the jewellery.
Once you climb up from the side path you take to the Bridge Keeper, you’ll see a Shatter Crystal across a bridge to the south. Look under this bridge to find some brambles you can burn away. Do this to dislodge another piece of jewellery and climb back down the wall to pick it up.
Return to Helheim with Atreus and proceed along the bridge destroying the Shatter Crystals. Behind the third and final one you’ll find the jewellery on the ground to the right along with a Hidden Chamber entrance.
Head into the Hidden Chamber and take the elevator down to the bottom. Climb the stairs and to the left of the coffin, behind a brazier, is the final piece of jewellery.