He sits in the Nexus in front of the Boletarian Palace archstone, and serves to introduce the player to the concept of Phantoms in the game, and to point the player to the nearby archstone. He is likely a former soldier of Boletaria, and is now the phantom of a Demon slayer trapped in the Nexus.
As his name implies, the warrior is cynical and depressed, and has given up his quest to slay Demons. Like the player, he was bound to the Nexus by the Monumental and as a result is mistrustful of the Monumental. He is the first to warn the player of the dangers of the Soul Arts; that as the Maiden in Black gives one more power, bit by bit, one loses their humanity. As the player progresses, the Crestfallen warrior will become increasingly soul-starved eventually leading to memory loss. Once the Tower Knight is killed he will rant about the player finding his rotten body, which is theorized to be the corpse with the Traditional Hero's Soul in the path of the Red Dragon's fire on the Lord's Path in the Boletaria Palace. After that encounter he becomes completely soul-starved, loses his memories, and eventually fades away.
The Crestfallen Warrior is one of the only characters in the game which casts doubt on the goodness of the Monumental, though it may be self-serving.