What is the name of anime about warrior that has to collect crystal sword, ball, mirror?
There is an anime that fits your description. It's called Master Mosquiton 99. The third episode takes place in egypt. In this episode at least one sphinx comes to life. It's also about defeating a boss in every episode and collecting treasure that has magic powers. It originally aired from 1997 to 1998.

http://en.anisearch.com/anime/2030,master-mosquiton-99