This covenant is located in the Cathedral of Blue.
*** Spoiler - click to reveal ***After defeating the Old Dragonslayer, there will be a man you can speak with in the next area. You will need to have a Token of Fidelity in your possession in order for him to allow you to join, otherwise he will ignore you.
A Token of Fidelity is awarded upon being summoned and assisting a player defeat a boss, or simply having the player be alive when the summon time runs out. You can be in any other covenant at the time to acquire one of these except for Heirs to the Sun, as they award Sunlight Medals instead.
There is one that can be found near the second bonfire in Huntsman Copse. You'll see an item on one of the pillars underneath the bridge above you. I cannot confirm if you can jump to this, but you can drop down from a hole in the bridge to reach it.