This is the first covenant you can enter. When you reach Majula, head from the bonfire toward the monument. Speak to Saulden, the crestfallen man here a few times, and he will offer for you to join the covenant.
Similar to the Blue Sentinels, members of the Way of Blue help each other out. When a member of the Way of Blue is invaded, another member is called in to defeat the phantom.
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