The following Legends are located at the indicated locations. Note: Cao Cao, Sun Quan, Liu Bei, Diao Chan, Lu Bu, Dong Zhuo, Yuan Shao and Zhang Jiao Legends can be unlocked by playing as any kingdom.
Wei
Xiahou Dun: Chapter4, "Guan Yu's Escape"
Dian Wei: Chapter4, "Escape from Wan Castle"
Sima Yi: Chapter5, "Battle of Wu Zhang Plains", room #8
Zhang Liao: Chapter5, "Run the Gauntlet"
Cao Cao: Chapter6, "Bewitching Land"
Xu Zhu: Chapter4, "Battle of Chang Ban"
Xiaohou Yuan: Chapter5, "Battle of Mt. Ding Jun", room #5
Xu Huang: Chapter4, "Cao Cao's Siege"
Zhang He: Chapter5, "Iron Armor"
Cao Ren: Chapter5, "Battle of Shi Ting", room #3
Cao Pi: Chapter 5, "Battle of He Fei", room #1
Zhen Ji: Chapter4, "Battle of Guan Du"
Wu
Zhou Yu: Chapter5, "Strategist Gathering", room #4
Lu Xun: Chapter5, "Battle of Yi Ling", room #4
Sun Shang Xiang: Chapter4, "Merging Forces", room #4
Gan Ning: Chapter5, "Battle of He Fei", room #5
Sun Jian: Chapter4, "Golden Seal", room #6
Taishi Ci: Chapter4, "Assault on Wu Territory", room #6
Lu Meng: Chapter5, "Battle of Fan Castle", room #5
Huang Gai: Chapter4, "Assault on Liu Biao", room #5
Zhou Tai: Chapter5, "Battle of Shi Ting", room #5
Ling Tong: Chapter4, "Battle of Xia Kou", room #2
Sun Ce: Chapter5, "Two Paths", room #6
Sun Quan: Chapter6, "Zenith Tower", room #10
Xiao Qiao: Chapter4, "Unification of Jiang Dong", room #4
Shu
Zhao Yun: Chapter4, "A Dou Rescue"
Guan Yu: Chapter4, "Assault on Cheng Du"
Zhang Fei: Chapter4, "Battle of Chang Ban"
Zhuge Liang: Chapter4, "Three Visits"
Liu Bei: Chapter6, "Manipulation"
Ma Chao: Chapter5, "Ma Su Rescue"
Huang Zhong: Chapter5, "Battle of Mt. Ding Jun"
Wei Yan: Chapter5, "Battle of Yi Ling"
Guan Ping: Chapter5, "Blood of a Warrior"
Pang Tong: Chapter4, "Battle of Bo Wan Po"
Yue Ying: Chapter5, "Battle of Wu Zhang Plains"
Others
Diao Chan: Chapter2, "Battle of Hu Lao Gate"
Lu Bu: Chapter6, "Black Storm"
Dong Zhuo: Chapter3, "Battle of Xia Pi", second to last map, turn left when you enter
Yuan Shao: Chapter3, "Rations Defense", middle map, upper right corner
Zhang Jiao: Chapter2, "Turbans Remnants", upper left map, upper left corner