Proving Grounds #1: After defeating the Worshiper (third boss), back track up the path in which you came to the graveyard from. You will come across a portal on the right hand side of the path. After completion of this Proving Ground, you will be rewarded with Backbreaker armour, Attribute point shard, and a Spell point shard.
Proving Grounds #2: After defeating the Champion (fifth boss), return to the first checkpoint of the catacombs. Just before you reach the checkpoint, in the hallway in which the large enemy with the shield would be, there will be a path on your left. Head down and then take the first left. This will lead to a room with an Infected, and the portal for the second proving grounds.
Proving Grounds #3: After defeating the Annihilator, you will access a portal and learn more about the story and the bosses you have defeated so far. Once this ends, you will return to the Flooded Hall area of the game. Immediately in front of you will be the portal to the third proving grounds area.
Proving Grounds #4: After defeating the Lost Brothers, head up the stairs to fight two enemies. Head up the next flight of stairs and there will be an enemy archer. The portal for the proving grounds will be located adjacent to this enemy.