How to find all Code Reviews across Projects and Collections in TFS?

On VS 2015, Go to Team Explorer Home > Click on Work Items ... > Select New Query > Select "Reviewed By" in the Field column and add the related username in the Value field and run the query. You will see all the Code reviews you have been a part.

Sadly I don't think there is a nice way to do what you are asking. Certainly not within Team Explorer. Code Reviews as you are aware get stored as work items and there is a strong boundary between Team Projects, which among other things, work items cannot cross. A note for the future, depending on how your business operates, you could consider 1 Team Project Collection, 1 Team Project and segregate your work by Teams and Areas. http://nakedalm.com/one-team-project/ this doesn't help you now of course.

I'm pretty sure that you will not be able to create a query using TFS to return the items you want (note, if you could, you would need to query for Work Item Response that are assigned to you Assigned To = @Me and not the Work Item Request. The request is the person making the code review request and the response is the reviewer(s).

Do you have tfs reports enabled? If so, as ds19 suggests, you could query the tfs_Warehouse db directly.

Another solution might be the TFS API but you will need TFS 2015 for that (which is packed full of features by the way) (Even though the link says it's for Visual Studio Online, it works for On-Prem too.)

I know this doesn't answer your question but hopefully it gives you some things to think about