I just watched Band of Brothers, and they were pretty surprised about finding the Jewish Concentration Camp in the second to last episode, but then I thought why they didn't know, I mean there were Jews that escapedo the Nazi Regime, did none of the allies knew about the Holocaust and the camps and the Final Solution?
There are a few answers on this from the FAQ--this one from /u/estherke, and this one from /u/commiespaceinvader.
There are a couple important notes I'd like to make on the specific case of American soldiers encountering camps, however, synthesized from those comments a bit. Both comments discuss the allied governments and the allied public. The allied governments undoubtedly would've known. And as the comments note there were reports that were picked up by the American media--but these were not treated as huge news, and might've been easy to miss--and I'm not sure how readily soldiers were getting that sort of information. But more to the point, there was a lot of skepticism about the reports (again, as the comments known). And perhaps more importantly, simply knowing that Nazis were murdering people in large numbers does not necessarily emotionally prepare a person to see it.
A final note on terminology--what the Western Allies encountered wasn't exactly "the Final Solution" per se. The extermination camps were located in Eastern Europe, and many were closed to some extent before the allies got to them. The Western Allies were finding the survivors of the "final solution" who were suffering incredible mistreatment as slaves and were appalled by their mistreatment--but they did not really encounter the wholesale extermination exactly.
As always, u/commiespaceinvader has a great answer to this question here.