Xanthous King Jeremiah appears as a Dark Spirit who invades in the Painted World of Ariamis. He invades with the express purpose of killing the player, and nothing more. Jeremiah was exiled to the Painted World along with others, but it is not known why he is the "legendary exile".
Although he bears the title of King, it is unknown which kingdom he is from (Xanthous simply means "yellowish", a reference to his garish clothing). Little else is known about him.
Both his corpse and phantom are located in the Painted World. On his corpse can be found the Xanthous Set:
The crown bears high-quality cloth which is quite soft to the touch,
but its bright yellow color stings the eyes, and it is clearly far too big.
The Overcoat, Gloves, and Waistcloth "may be tattered, but [their] bright yellow color still stings the eyes".
Xanthous King Jeremiah is most likely a nod at the Old Monk boss from Demons Souls.