Artefacts DONT drop. The heroes already have them, you just need to activate them using artefact shards. In the artefact tab in the hero page, hover over one of the greyed out orbs and a pop up will show you how many artefact shards you need to activate that one orb. once all orbs activated to same level, press the upgrade button and the artefact will up a level.
Hope that helps?