You can check your Pet Collections by clicking on the collections' icon (the paw) on the panel below to your left:
The window with all Pet Collections will pop up:
The pets that are already tamed are indicated with a green check-mark like this:
To check what requires the taming of a pet that you still don't have in your Collection, click on a pet and you'll see a list like this one:
Note: Special bonuses enable only after you have all 3 animals from the collection.
Ans here's a bonus! Check out this video to find out how to tame Kitty the Kitten: