By heading north from the The Great Ocean you can access underwater content. Be aware that unless you are half-undine or a Shadowcraft practitioner, you have limited time you can hold your breathe and will drown. Unsurprisingly, it's dark underwater. Bring a light source or cast night vision on yourself if your race suffers night blindness. If you take drowning damage your maximum health temporarily decreases.
The first zone you will enter is Under the Waters of the Great Ocean. There is an Ancient Ziggurat under the water that has air inside, if you manage to reach it.