Since there isn't one available on here yet, I made a guide for how to find all of the player colors! Hopefully this will be helpful for everyone.

The default blue, orange, purple, and green colors are available from the start. Before unlocking the ember pit, however, you cannot choose your color, and you must use the one that corresponds with your spot in the player order.

The ember pit will be unlocked when you first unlock one of the other player colors.

In Scoggfirth, you will occasionally find a room containing a waterfall with a strange mark on it. This waterfall can be blown open with a Blast Bomb, revealing a hidden cave. Enter the cave to unlock the color.

In the Steadfast Citadel, you will occasionally find a room containing a wall of ice that bears the same stange marking as the waterfall in Scoggfirth. Use the Ember Fire skill to melt the ice, revealing a hidden room. Enter this room to unlock the color.

In Wightsbury, you will occasionally find a room containing a mausoleum, the doors of which contain an all-too-familiar marking. Use two Warrior Wisps (it doesn't matter how it's summoned, but patches have changed it so that you need at least two) to light up the torches next to the mausoleum's entrance. Doing so will cause the doors to open, allowing you to enter and unlock the color.

In Anville, you will occasionally come across a room containing two tesla coils and a door that bears the same marking used to indicate the location of other hidden player colors. Use lightning (the Judgement skill is the best way to do this) on both of the tesla coils to activate them, causing the door to open. You can then enter the hidden room to unlock the color.

This is one of the easiest ones to unlock. Just attack Esper a few times and he'll give it to you.

At the end of the Steadfast Citadel, in the room where the care package spawns, there will be a hidden snowman. Attack the snowman to unlock the color.

This color is unlocked upon defeating Praxis in Netherra for the first time.

These colors are unlocked upon completing the game on doom difficulty and getting the true ending.

This color is unlocked upon defeating Praxis in Netherra while playing in endless mode.