The Depths is an early-game area in Dark Souls you'll come to after exploring Lower Undead Burg.
Once you head down the stairs from the Burg, you will encounter a few hollows, dispose of them and head back along the side of the stairs to get a Large Soul of Nameless Soldier. Go further down into the larger area, and be careful as there are a huge amount of Hollows, the Torch Hollows are able to rush you pretty easily, so try to lure them all out to divide and conquer.
Head down, to aggro a dog and Chef, the dog should be no trouble, but you will want to go up the stairs to the area where you fought the hollows to give you some more space. When you've cleared this out, you'll find a chest here, containing a Large Ember, which you will want to give to Andre in order to upgrade your weapons further.
Then, head back and through the water under the bottom from the stairs on the right, where you will encounter two dogs and a hollow. From here. Head left and fight another Chef.
Once you've killed it, go into the room and free the Laurentius the Pyromancer by rolling into the barrels in front of you, talk to him, and he will return to Firelink Shrine. From here, head down and through the path you didn't take. This will lead you deeper into The Depths.
Once you head into the area that is in a pool of water, check for the ceiling above you before you grab the item, as a blob will fall down and deal huge damage to you.
Once it's on the ground, it is incredibly weak to fire, so bust out your fireballs again in order to kill these. A torch hollow will be waiting to ambush you, so take that out and proceed. Walk through the corridors until you reach a wider one with another Torch Hollow laying in wait.
Before you proceed, look up to find seven of those Blobs waiting to ambush you. Kill them with Firebombs or Fireballs and proceed to take out the Hollow, and then unlock the door in front of you with the Master Key to get the first Bonfire in The Depths.
Head back out, and go down the doorway we ignored earlier. Break the boxes to reveal a ladder. Ignore it for now and come back up and proceed to the open area.
To the right there are Rats guarding a greataxe on a corpse. To the path where a Rat jumps out of a box at you, then follow the path down in order to get the Sewer Chamber Key on a Corpse.
From there, proceed down the narrow walkway and go straight forward to get a Soul of Nameless Soldier. Turn the corner and pass through the Fog Gate.
If you're looking for more help, our Dark Souls walkthrough and guide can help with all other areas of the game, including the dreaded Taurus Demon, Capra Demon, Ornstein and Smough bosses. Meanwhile, we have explainers on how to access DLC Artorias of the Abyss, the best gift and best class in Dark Souls, Dark Souls' best weapons, Dark Souls Covenants, Dark Souls Estus Flasks locations, Dark Souls Titanite Slab locations and NPC quests including Lautrec of Carim.
Kite the Rats to the upper platform and deal with them there, then go down and head left to kill the Channeler. Beware that on the way, Two Rats will emerge from Boxes. Once you've killed the channeler, head up and towards the corner where the channeler was in order to get a Large Titanite Shard.
From here, head towards the doorway that was to the right when we first entered. Then in the narrow walkway, take the first right, the the first left to get an item.
From here, head right to go into the room with a Giant Rat. The rat is especially vulnerable to fire, so take it out with that and surf down the waterslide.
Here, you will want to look out for a corridor containing a corpse with an item on it, head forward to fight a rat, and then forward through the broken grate, then hang left. Proceed up and you will be on the other side of the waterway.
Deal with a few of the blobs with firebombs, and then head up the stairs forward and to the right of where you came in to unlock a shortcut to the Bonfire. Then, head forward and past the arch, and to the right will be Domnhall of Zena, who will later sell boss armour to you at Firelink Shrine.
Then, head back and immediately through the path to the left to get closer to our next boss - the Gaping Dragon. Go right and down the stairs you see on the path. Head down again, and pass through the fog gate.
After the fight, head back to where you found Domnhall of Zena, and unlock the gate to Blighttown.