The Veiled Path
Head to the very end of the location, right before the huge gate at the top of the stairs . The key can be found on the right side, in front of the prophet's camp .
Go down a couple levels and on the left you will see a stone gate . Use it to move to Enigma. Inside you will find another similar gate, which is unfortunately locked .
In order to open it, shoot the yellow sphere from a ranged weapon . A group of monsters will attack you on the other side. Once they're all dead, the camera will point your attention to extinguished torches .
Lit them up using Fire ball and the nearby door will open. Go out through the second hole on the left  and turn right. In the middle you will find the key .