The Blue Sentinels were first introduced in Dark Souls II, and now they’re back in Dark Souls III. Before you can join them, first you need to find the covenant item and equip it. You can get the item by progressing through the story normally, namely when you reach the Halfway Fortress bonfire at the Road of Sacrifices. When you first get there, you’ll find Anri and Horace resting to the side of the area. Simply head towards them and talk to Horace to get the Blue Sentinels covenant item.
To be part of the covenant, you have to head into your equipment menu and equip the item. Members of this covenant will be automatically summoned to the worlds of anyone in the Way of Blue covenant who’s been invaded. Your job will be to hunt down the invader and protect the Way of Blue host.
Be sure to check out our Dark Souls III wiki for more tips and tricks.