Treasure Bags are found by killing bosses in Expert Mode in Terraria. The appearance and contents depends on which boss rewarded you with it.
Treasure Bags[]
Official[]
Brain of Cthulhu
Duke Fishron
Eater of Worlds
Eye of Cthulhu
Golem
King Slime
Lunatic Cultist
Moon Lord
Plantera
Queen Bee
Skeletron Prime
Skeletron
The Destroyer
The Twins
Wall of Flesh
Unofficial[]
Night Mare