I guess the game is “semi-linear.” For example, you will not be able to go back to the previous worlds that you have already finished. There would be no need. If you are worried about forgetting something in one world and then not being able to return to it, that is not the case. The reason is that you simply would not be able to advance to the next world until you have completed all of the tasks that are in the previous world. And that includes finding all of the items.
But in the world that you are currently in, you can freely move around, back and forth if you think that you forgot something.