Both. You can luck into finding one pre-Depot, but it's just luck. Getting some Mercantile to unlock merchant inventories will help, post-Depot, since you'll have access to several merchants with extra inventory; also, the world will progress and merchant inventories will improve. I know I've found them on Fixer, in Junkyard, as well as the merchants in Core City and Foundry; I'm fairly sure you can get them in IoT and Fort Apogee as well.
But basically, the incendiary and cryo collectors are fairly rare, and you'll need a little luck, a little patience, or both in order to find them.