Dust An Elysian Tail

The first cage you can find is located in The Glade, which is the real first area of the game. It's found in the 4th map square from the right, next to the half green/blue square. I won't spoil who it is for anyone, but it's near the bottom of that area. There is only one way down, so you should have no trouble finding it!

Don't forget that you need four keys to open it.

Cages are similar to treasure chests, but require 4 keys and are usually harder to find. Each cage houses characters that may be familiar to you.

The achievement will unlock after unlocking your first cage.

Here is a video showing maps with locations of each, along with how to reach them.