The Armour is likely the first piece to be acquired; it is found in the cave north of the Medal King's Palace.
The Helm is found in Canalot, in its king's possession. He holds a competition stipulating that anyone who can make him laugh will win the Helm. The party travels to Laissez Fayre to recruit comedian Tom Foolery to the cause, expecting him to unleash one of his funniest jokes on the king; instead, he delivers an impassioned speech about evil on the rise and then necessity of the Chosen to defeat it. The king is convinced and gives up the Helm.
On a tip from a poet in Canalot, the party heads to Burland, only to find that the king gave it away to the queen of Femiscyra (a beautiful woman) many years ago. They travel to a small kingdom east of Burland, however, and after being accused of robbery, they are tasked with finding the real criminal if they want to clear their names. They successfully track down the real robber, clear their names, and are rewarded with the Shield for their hard work.
After acquiring the balloon and traveling to the World Tree, they find a fallen Zenithian named Orifiela, who points them to the Sword. Yet, the sword's power was not awaken. It's powers are finally revealed when the Zenithian Dragon meets the Hero for the first time.
When awakened, the Zenithian Sword posses the abillity to cast Disruptive Wave on the enemy.