The Gravelord Covenant is a bit harder to find as it is in the Catacombs. You first need to get into the Catacombs and find your way into a long hallway with a Titanite Demon in it. Behind him you need to loot the body for the Eye of Death then look for a coffin that sticks out further than the rest. Get into the coffin and wait for a minute to be transported to Nito's room. Speak with him to join the covenant.
Note: If you defeat Nito, you cannot join the Gravelord Covenant until your next playthrough.