NES games arrange sprite data in a buffer zone, usually at $200-2FF. If it isn't there, it'll be at $300, $400, $500, $600 or $700. Experience will enable you to identify this visually during routine gameplay; for now, you can confirm the sprite buffer location by searching for the snippet "8D-14-40". The byte directly prior to that is the high byte of the RAM Page used as a Sprite Buffer. Thus,
A9-02-8D-14-40 means the Sprite Buffer is at $200-2FF.
A9-03-8D-14-40 means the Sprite Buffer is at $300-3FF.
A9-07-8D-14-40 means the Sprite Buffer is at $700-7FF.
Within this region, sprites are defined in four-byte "YTAX" chunks. The first byte is the vertical position onscreen (values higher than #EF are too low to be seen). The second byte is the Sprite Tile#. The third byte is the assigned sprite palette, whether or not it's flipped horizontally and/or vertically, and if it should be placed behind non-godtone backgrounds. The fourth byte is the sprite's horizontal position onscreen.
You can begin tracking down sprite palette assignments by setting Write Breakpoints to the respective Attribute byte of a given sprite's YTAX (Y-pos, Tile#, Attributes, X-pos) chunk. For example, if the sprite is defined at $220-223, set a write breakpoint to $222 and backtrace it from there.
Bits of Attribute Byte = VHBx xxPP
V = Flip Vertically?
H = Flip Horizontally?
B = Put Behind non-godtone Backgrounds (SMB3 where Mario drops down behind large white blocks, but is still "in front" of the dark blue sky)
xxx = unused
PP = Sprite Palette assignment