Usually, Sketch does quite a good job at keeping track of the currently selected layer. Whenever you click on an element on the canvas, it is also highlighted in the layers list. But the more complex a document gets, the easier in can happen to loose sight of a layer in the layers list.
The most obvious way to find the layer that is currently selected on the canvas is to press Shift + Cmd + J (or select “Reveal in Layers List” from “View > Layers List” in the menu bar).
But there are more options to find a particular element. To visualize the layer hierarchy right on the canvas, make a right click and select “Pick Layer.” This action shows the full hierarchy of all layers below the cursor. Choose a layer, and as usual, it gets selected on both the canvas and the layers list.
If you are looking for a certain element and know the exact name or at least parts thereof, you can also utilize the filter function with Cmd + F. This highlights the respective input field at the bottom of the layers list. Entering some characters filters through all artboards, groups, and layers immediately, and only shows the relevant elements. To reset the filter and leave the input field press Esc.
Bonus tip: Another method to regain a lost layer is with the help of the Sketch Runner plugin. It’s like MacOS’ native Spotlight Search, but inside of Sketch. The best way is to assign it to a memorable keyboard combination (Cmd + ' or Cmd + Shift + # by default), cycle to the “Goto” tab with Tab and, just like for the native filter function, enter a few characters. As expected this brings up a list of all matching elements, that can be selected with the arrow keys and a press on Enter.
With these handy tips, it should be quite easy from now on to know exactly where all your elements are hanging around. Good huntin’!