How many magnetic moments periodically arranged on a metallic surface are needed to generate a coherent Kondo lattice behavior? We investigate this fundamental issue within the particle-hole symmetric Kondo lattice model using quantum Monte Carlo simulations. Extra magnetic atoms forming closed shells around the initial impurity induce a fast splitting of the Kondo resonance at the inner shells, which signals the formation of composite heavy-fermion bands. The onset of the hybridization gap matches well the enhancement of antiferromagnetic spin correlations in the plane perpendicular to the applied magnetic field, a genuine feature of the coherent Kondo lattice. In contrast, the outermost shell remains dominated by a local Kondo physics with spectral features resembling the single-impurity behavior.