Found in Irithyll of the Boreal Valley.
From the bonfire after Pontiff Sulyvahn, proceed through the immediate door, up the stairs to the left and through the valley of dead giants. At the end of the valley, enter the door and on the immediately left hit the wall to reveal a ladder going down.
Descend and defeat the two Sulyvahn's Beasts to reach Archdeacon McDonnell to join.
After you defeat Aldrich, Devourer of Gods, McDonnell will be dead and you won't be able to join the covenant.
You can still Join The Aldrich Faithful, after killing Aldrich, Devourer of Gods, if you haven't reached Archdeacon McDonnell, He will be dead, but you can still join and offer Human Dregs.
Here is a video playthrough
Credits to BigHat Logan channel