First encountered sitting on the low wall outside the locked gate to Sen's Fortress, but only until you ring both bells. After that, Siegmeyer of Catarina moves on. He will keep moving around Lordran so long as you keep interacting with him.
See the Catarina Quest page for more details of key points for Siegmeyer.
Siegmeyer of Catarina outside Sen's Fortress. Your first meeting with this Knight and the start of the Catarina side quest.