Make your way through the train cars and towards the graveyard.
Once here make sure to grab the chest hidden beneath the middle coffin by pulling it out to expose the staircase, grab the Vulgrim location and smash all the large tombstones to reveal a hidden chest.
There are quite a few collectibles around here so take your time and be thorough. When your ready head towards the next of the Stone Guardians and wake him up with your Horn.
He will explain that he cannot move from here until his curse is broken. To help him out you must win 3 ‘arena’ style battles that have special rules. He will grant you the ability to see the points you need to go to, so head to the closest and pay attention to the different rules each of the fights presents. None of them are particularly difficult so you should wrap them up fairly quickly and return to let him know you’re done afterward.
Head through to the Broken stair area, you’ll find another Vulgrim location here down some subway stairs so be sure to activate that. The main reason your here is to head to the top of the building that you can see next to the stairs leading to Vulgrim. After you’ve finished exploring head to the roof of the building to trigger some cutscenes and prepare for an aerial mission of sorts aboard a griffin.
Try to preserve your health here as much as possible, you can take a lot of damage quickly if your not careful and end up having to repeat the mission. Once complete you’ll get your first glimpse of the first of the ‘chosen’ Tiamat. We’ll be heading into her castle next.