Where to find the Well Depths Key in Elden Ring: Shadow of the Erdtree
You're not gonna like what you find on the other side of that gate unless you're a certified sicko.
Going through Elden Ring: Shadow of the Erdtree's first legacy dungeon, Belurat Tower Settlement, you'll find a locked door at the bottom of a well near the first site of grace. Luckily, the Well Depths Key isn't too hard to get, but it is a little hidden.
Well Depths Key Location
You can find the Well Depths Key shortly after the Private Altar site of grace, the second one you'll find in the legacy dungeon. Head west out the door from the altar, avoiding or killing the challenging Hornsent Knight enemy patrolling this area.
The path is identical to the one you'll follow for the Storeroom Key required to start the Hornsent Grandam's quest. Head north (right) when you come to a dead end at the gross yellow waterfall, and follow this path until you can turn and reach the stream before the waterfall. There are some enemies around here, but nothing as bad as the knight.
Look for an open doorway into a room with a ladder. Climb it, grab the Storeroom Key while you're here, then step outside and turn left. Immediately to your left, before you go too far down the stairs, you'll notice some rooftops you can jump on to. From here, you'll see a covered bridge over the avenue below. Jump to this bridge and follow it to the next room (watch out for a weak but sneaky enemy to your left as you enter) and you can find the Well Depths key on a body in the room.
Belurat Well Location
The well itself is much easier to find if you haven't already. From Belurat's first site of grace, creatively titled "Belurat Tower Settlement," you'll reach the big avenue with the main path leading northeast to the Private Altar grace. Go southwest instead, where you'll see a big fountain surrounded by enemies.
You can safely ignore these guys and make a beeline for the titular well off to the side of the plaza. Climb down, and you'll find the gate. On the other side, you'll find an... interesting area I don't want to spoil. It's a somewhat large zone, and I'll note that if you explore to the left from where you enter first, you'll quickly find a challenging fight and a new charm. Exploring to the right from where you enter will eventually lead back to the critical path of the legacy dungeon.