World Map Kingdom of Lothric locations in Dark Souls III

The map in Dark Souls III shows all the available locations. Each of them has to be reached in the conventional way first (presumably on foot) - by consecutively reaching the locations one by one. In order to be able to do that, you sometimes need to kill a boss or have a specific item (Small Lothric Banner is required to get to the Undead Settlement, and to get through the bridge leading to Irithyll of the Boreal Valley, killing the Deacons of the Deep and having Small Doll is mandatory). Another thing is that some of the locations aren't required for finishing the game; they just let you face new bosses, enemies, and obtaining important items.

After lighting a bonfire in a location, you'll be able to fast travel there from any other bonfire in the world. Most often you will be getting to the Firelink Shrine and then getting back to that location. Just keep in mind that sitting at a bonfire respawns most enemies in a given location.

Only after killing the three Lords of Ash, you'll be sent back to the High Wall of Lothric, and gain access to further parts of the castle.