Little Nightmares

There are a total of 5 collectible "messages in a bottle" located throughout The Depths DLC. They are also referred to as "flotsam" in the game. You cannot chapter select within the DLC, so you must restart the entire DLC if you miss one. Upon collecting all 5, you will unlock the achievement.
1 - Upon using the seesaw to get onto the cabinet, you end up in a room with a crate that can be dragged to a nearby sink. Do this, go inside the sink and grab the bottle before going down the rope to the next area.
2 - You'll reach a section where you use a lever to fill/drain a basin of water. Fill it to the top (100%), then drain it to 1/4 (25%). As the water is draining, jump in and swim to the right through a drain hole. In here you should spot the bottle in the background.
3 - Shortly after 2, you'll be using floating junk to cross some water and will also climb two small silos. The water will then widen and you should notice a platform in the back that can be reached using some floating junk. There is an obvious bottle on this platform.
4 - After crossing a large body of water (you'll jump off a hanging boat), you'll reach a large wall that you can climb. Halfway up this wall, turn back and jump onto the ledge behind you. With a running start, jump across to the left to find the collectible.
5 - After the final body of water (you'll use a TV to get across), you'll enter a room with a large staircase. Before going up, go to the right side of the room and find the bottle behind the planks on the wall.

Thanks to user "Cortexia" for the help with some of these locations.

Also make sure to grab the Fun and Games Ahead achievement during your playthrough which is missable.