These knights can be found in the Undead Parish and Sens Fortress. There are three types of Balder Knights: One wields the Balder Side Sword and Balder Shield, another wields a Rapier and Buckler, and the third wields only a Light Crossbow.
Crestfallen Merchant provides some context to the Balder Knights:
Let me give you a nibble of advice.
Don't even consider visiting Anor Londo. Not in your state.
For a century, they have tried, and failed.
The Knight King Rendal, Black Iron Tarkus, and even Logan himself.
You won't stand a chance. You'll be eaten alive…