This fritzing breadboard diagram is straight forward. Here is the line by line summary:

MCU Power:

• Feather [3V] --> Breadboard VCC [Red Power Rail]
• Feather [GND] --> Breadboard GND [Blue Ground Rail]

Mic:

• Max9814 [GND] --> Breadboard [GND]
• Max9814 [Vdd] --> Breadboard [VCC]
• Max9814 [Gain] --> Breadboard [VCC]
• Max9814 [OUT] --> Feather [A0] (analog)

Heart Rate:

• Polar F5 [GND] --> Breadboard [GND]
• Polar F5 [VCC] --> Breadboard [VCC]
• Polar F5 [OUT] --> Feather #11 (digital in)

Light:

• TSL2561 [Vin] --> Breadboard [VCC]
• TSL2561 [GND] --> Breadboard [GND]
• TSL2561 [SDA] --> Feather #2 [SDA]
• TSL2561 [SCL] --> Feather #3 [SCL]

Temp/Humidity:

• DHT22 [VCC] --> Breadboard [VCC]
• DHT22 [OUT] --> Feather #5
  Also connect through a 10k Resistor --> Breadboard [VCC]
• DHT22 [GND] --> Breadboard [GND]

The wiring and pin connects can be seen a little easier with the OLED display removed.

The Feather 32u4 BLE datasheet summary can be helpful so I've included it below.