Lower Undead Burg
(Accessed through the basement door located right before the bridge with the dragon. Requires a Basement Key.)
Items in the Area
When you explored Upper Undead Burg, you came across a locked door just before the bridge commanded by the The Bridge Wyvern. Unlock the door with the Basement Key (found in Undead Parish). If you have not disposed of the Dragon yet, you may need to travel to the bonfire in Undead Burg by using the short-cut under the bridge. You only have to do this once, since we will be unlocking two new short-cuts shortly. Once you have entered the door, make your way down the stairs and ladder. Once outside, take the upward stairs on your right to open the gate at the top. This a short-cut between Upper Undead Burg and Lower Undead Burg.
Head back down to where you were and move towards the stairs leading down beside the big bonfire. There are three Undead Attack Dogs down there, so be ready for them. You should be able to lure all three of them (one at a time) while remaining on the stairs. Head all the way down until you are standing next to a well. To the right of the well, you will find a door with someone asking for help. You will need the Residence Key to open it. Inside you will find Griggs of Vinheim (A sorcery trainer who will sell a variety of useful sorceries when he's back in Firelink Shrine). To his right there's a corpse in a barrel. Break the barrel for the Sorcerer Set and Sorcerer's Catalyst. Out that door and to the left you will descend a short flight of stairs and find a new enemy – the Torch Zombie. There are two on your left and five on the right. Try luring them one at a time. Past them you will find Twin Humanities on a corpse.
Head back until you reach a wagon - it is useful to break it before continuing. Past the wagon you will see three closed doors - one on either side of you and one ahead. As you continue forward, they'll open and three Undead Assassins will leap out for an ambush, so be prepared. In one of the rooms on the right you will find a corpse holding a Mail Breaker. Keep heading forward until you see some grass - but do not step onto the grass just yet. There are two Undead Attack Dogs at the back which you will be able to lure. If only one of them comes, just keep in mind that there is another one at the back. Going forward, three more Undead Assassins will jump out from behind doors for another ambush.
On the left in a small arched corridor you will find a corpse in a barrel with a Large Soul of a Lost Undead. In one of the assassin's rooms there's also a corpse with the Thief Set and a Target Shield. Continue forward to find a fog gate. Behind it is the area's boss. Before entering it, you can unlock another short-cut.
Take a right at the fog gate and travel down the stairs. You will see an Undead Assassin waiting in the distance. Be careful of engaging him because there is one more Assassin around the corner on the left waiting in ambush. After taking care of them, head all the way to the back where you will find a Large Soul of a Lost Undead on a corpse. Behind you now will be a door, on your left, and some stairs leading into a building, on the right. The door will give you access to the Depths, but it's currently locked.
Travel up the stairs on the right and through the opening. Travel up some more stairs with a mostly harmless Zombie Archer about halfway up until you find yourself back in the aqueduct. On your right is the Undead Merchant (Female). Continue along the aqueduct and open the gate to unlock a shortcut to Firelink Shrine.
Head back to the Fog Gate ...
Boss fight: Capra Demon
NOTE: When you return to Lower Undead Burg, be aware of the fact that there will now be four Undead Attack Dogs where the Fog Gate was. Once you dispose of the boss you will obtain the Key to the Depths, with which you will be able to continue your quest. Make your way toward the locked door we found earlier on near the Lower Undead Burg / Firelink Shrine short-cut to go to the Depths.