Lothric is a monarchy; the military and the Church are held in special consideration; the Church, in particular, is consulted by royalty even in private matters [Priestess Ring]. Slavery is commonplace, and the King’s subjects have no consideration for them. Their face is usually covered, and carry an axe to deliver quick and deadly blows [Thrall Hood, Thrall Axe].
They’re considered to be even lower than criminals, who are often shamed by making them wear the attire of slaves [Thrall Hood].
The knights were once famed drake hunters. They typically used Lightning Urns to subjugate them, until they learned how to tame them [Lightning Urn]. The Sun — source of light, and associated with lightning — was worshipped by them, probably because it was seen as the source of their most effective hunting tool [Lightning Urn].
Lothric knights are traditionally known as fierce defenders of their homeland; their drakes gave them an edge in battle [Lothric Knight Sword]. Given the current state of the world, it’s been a long time since they went to battle against another army. They’re known to use refined straight swords [Lothric Knight Sword].
The Winged Knights, imposing figures armed with a halberd which requires inhuman strength, are known to have "sworn themselves to the Angels" [Winged Knight Halberd].
The King’s Black Hand are possibly another order of knights in Lothric. It was a title bestowed upon hunters who served successive generations of kings, a very rare thing — no more than three people ever held that title [Black Hand Armor].
In Lothric, miracles are performed somewhat differently than in Carim: Carim and Lothric priests both memorize and later chant a tale of the Gods [Priest's Chime, Saint's Ring], but Lothric priests use a sacred chime instead of a talisman as a medium to be blessed with their revelations [Priest's Chime]. The Lothric Church is very close to the royal family.