Anor Londo
Before heading to Anor Londo, return to Firelink Shrine to advance Yuria's questline. Exhaust Yuria's dialogue then level up your Vigor and Endurance as high as you can. Each Silver Knight located after Pontiff Sulyvahn's boss room, and in Anor Londo, is a tank and hits like a tank. You need as high HP and Endurance as possible to help you through the area and push your way to the next boss.
21. Anor Londo, Dark Souls III
Sit at a bonfire and warp to the Pontiff Sulyvahn bonfire. Don't fight a Silver Knight while on a buttress. Lure a Silver Knight to level ground and fight there. Behind two Drang Knights is a building that contains a steep ladder, which is hidden behind an illusory wall. For the moment, ignore the ladder because it leads to an area with two Sulyvahn's Beasts. Wait until near the end of the game, by which point you should have the necessary weapons to easily defeat the Beasts. The most important item to grab is the Easterner's Ashes, located underneath a buttress. Give the Ashes to the Shrine Handmaid and you should be able to purchase as many Large Titanite Shards from her as you want. Also, be sure to grab the Dragonslayer Greatbow, which much later on in the game will be used to fight a mini-boss.
After defeating the six Silver Knights on the buttresses, enter a building. To your left is a circular stairway that leads to Anor Londo. To your right is a flight of stairs at the foot of which is the Old Woman of Londor. Talk to the Old Woman and exhaust her dialogue to receive an item. Talk to her again, then proceed through a hallway to find Anri's body lying on a platform. Interact with the body, view a cutscene, and Yuria's questline would have progressed near its conclusion. Quit to menu, load your game again, and you should see a shiny near where Anri's body used to be. Pick up the shiny and any nearby treasures. Return to the location where you talked to the Old Woman to pick up another shiny. Now make your way up the circular stairway and light the Anor Londo bonfire. As shown in the above video, there is an optional area (i.e. a tower) that is accessible via an invisible platform. Get to that area, talk to the NPC, and proceed down the tower to grab all treasures.
Whenever you are ready, warp back to the Anor Londo bonfire and make your way upstairs to grab the Giant's Coal. The Anor Londo bonfire is useful as a farming location. The nearby three Silver Knights often drop Titanite Shards and sometimes Large Titanite Shards. If you want, farm the knights for the necessary materials (and souls) to upgrade these weapons to at least +6: Blessed Caestus, Raw Claymore, Raw Broadsword, Dragonslayer's Axe, Light Crossbow. You will need the Dragonslayer's Axe during your later exploration so it's worth your time to upgrade the weapon now. You will also require a Raw Gem to infuse the Dragonslayer's Axe. You don't need to farm for a Raw Gem; one can be picked up later in the game. Head into the arena before the boss room and grab an Estus Shard hidden inside a treasure chest.
The area boss is Aldrich, a sorcerer substantially more powerful than Crystal Sage. Aldrich's most devastating attack is a rain of magic arrows, which can follow you for a long time. Stack as much physical and magic defense as you can. Consume a Blue Bug Pellet to boost your magic defense. Aldrich is weak against fire. Buff your Raw Broadsword with Charcoal Pine Resin/Bundle. (Black) Firebombs and Lightning Urns are also effective against Aldrich.
After Aldrich is slain, a cutscene would play and your character would be teleported to a location in front of Emma. Exhaust Emma's dialogue, approach a statue, then Homeward Bone to Firelink Shrine to prepare for the next boss fight. You might also want to warp to Aldrich's bonfire, ascend an elevator, and proceed into a room to collect the Sun Princess Ring. While equipped, the ring would slowly regenerate your HP. Grab the ring and equip it immediately.