The area directly before the Vordt of the Boreal Valley boss fight in High Wall of Lothric there is a large set of stairs with patrolling Lothric Knights in the area. At the top of the stairs opposite the boss door you will see gigantic wooden doors to enter a church. Inside is a woman named Emma sitting in a chair. Exhaust her dialogue to discover the covenant.
Later on in the same the area you speak with her will host the Dancer of the Boreal Valley boss fight.