Oceiros is located in the Consumed King's Garden…
The mad fallen king known as Oceiros, the Consumed King, is one of the few optional Bosses in Dark Souls 3. This optional path takes the Ashen One towards Oceiros, who despairs in madness in the far halls.

Consumed King's Garden is a location in Dark Souls 3. Consumed King’s Garden After you defeat Dancer of the Boreal Valley, climb the ladder and take a left if you want to explore the Consumed King’s Garden, which is a short optional area. But defeating the boss of this area allows you to explore a couple more areas so it’s worthwhile. This optional path takes the Ashen One towards Oceiros, who despairs in madness in the far halls. New ... Be sure to check out the rest of Polygon's Dark Souls 3 guide, ... then run forward into the new zone — the Consumed King's Garden… Dark Souls 3: Consumed King's Garden walkthrough.