The Way of Blue covenant makes a reappearance in Dark Souls III, and it’s also one of the first covenants you can join very early in the game. As soon as you reach the High Wall of Lothric, make your way through the area as if you were headed to the Vordt boss fight. Instead of heading into the boss room, turn left and run past the two knights wielding a sword and spear. Run into the large room, and the two knights will stop pursuing you.
Talk to the old lady at the very end of the room. If this is your first time talking to her, she will give you the Small Lothric Banner, which is required for progressing in the story. Talk to her again, and she will give you the Way of Blue covenant item. Simply go to your menu and equip the item, and you’ll now officially be part of the covenant.
Be sure to check out our Dark Souls III wiki for more tips and tricks.