This page of the guide to GreedFall has the walkthrough for In the Footsteps of Saint Matheus side quest.
Where to start the quest?: Complete Theological Conflicts side quest.
You are ordered to follow in the footsteps of Saint Matheus. The further path can be a bit difficult to find - start by reaching the nearest camp, and then stick to the right side of the map. At some point, you will have to climb a stone ledge.
After a while, you will encounter a new camp and a mini-boss - Nadaig Magamen. The enemy is attacking with a long spear, so keep a safe distance or be ready to dodge/counter.
Then, go to the cave where Saint Matheus was. Look at all the important points in the room with frescoes and take stone tablets - this will end the quest. You get 1,900 XP and start Saint and Wild side quest.