Non-native learners and users of English, even very proficient ones, often put the stress on the last syllable, colléague:
The simple way to get the native pattern right is to remember that colleague isn’t a verb. (A verb is a ‘doing word’.) All of the 2-syllable coll- words with final stress are verbs. Here they are, in descending order of frequency on the web:
collect, collapse, collate, collide, collude
Each of those verbs begins with a weak syllable containing the little colourless vowel ‘schwa’, ə. The most common by far are collect and collapse: in Oxford Dictionaries transcription, /kəˈlɛkt/ and /kəˈlaps/.
2-syllable coll- words with initial stress are generally nouns (‘naming words’), and colleague conforms to this pattern. The most common are:
college, Collins, colleague, collar
(The last of these can be used informally as a verb, meaning ‘to stop someone, as if grabbing them by their collar’ – for example, he was collared by the police. In this usage collar keeps its initial stress.)
So a handy phrase for remembering this might be Colléct your cólleagues.