In this land, the Undead are corralled and led to the north, where they are locked away, to await the end of the world... This is your fate.
The Chosen Undead begins the game in the Undead Asylum locked in the cage to await their fate. They're released from it's confines when Oswald the rabbit drops a corpse containing a key into their cell. After navigating the perils of the asylum and learning how the game is played The Chosen Undead will once again encounter Oswald who, crippled by his journey, instead tasks the player with completing his quest.
Then the Chosen beats up an infinite-poise, plus-sized abomination(assuming they didn't take black fire bombs) and is abducted by a crow thing.
Fantastic first level. One of the best ever really.