Siegward is from Catarina. He wears the traditional Catarina Set armor and wields a Zweihander.
When first encountered, he explains that he is "in a bit of a pickle", trying to find his way to the top of a tower but cannot advance because he is bombarded by giant arrows. So, he begs for your assistance.
He will move to a ledge nearly at the top of the lift. He is watching a Fire Demon below, and if you advance you can fight it together.
Next, he will be found in a well outside of the Cathedral of the Deep's Cleansing Chapel.
After saving him from the well, he can be found in Irithyll of the Boreal Valley, through a small sewer connected to the lake near the Distant Manor bonfire, resting by a fireplace. He has made some estus soup and toasts with the player again.
In Irithyll Dungeon, make your way to a pit full of rats and a sleeping giant. Standing in the pit, there is a dungeon cell window, where you can find Siegward locked up. You need to free him.
After saving him from his cell, upon entering the room with Yhorm the Giant, Siegward will be walking alongside the Ashen One into the arena.