Where can I find my completion percentage?

It seems that you can check your game progression on the Ubisoft Club website.

https://club.ubisoft.com/en-GB/game/assassins-creed-odyssey/PC/stats/

On the stats page a column sidebar lists your progression on certain things within the game.

There doesn't seem to be an overall completion percentage though.

If you're playing through Uplay, you can see a more detailed list under Statistics:

^{(source. the same thread suggests this page can be buggy, however)}

Apart from general statistics, it shows the amount of completion in percentages of the Main Progression, Regions Discovered, Reach High Points Synched, Abilities Acquired, and Ship Upgrades.