Find the dungeon in Thalmor Embassy. After making a commotion inside the embassy, you should already have the current task, which is to “search for information about the dragons returning.” From the party area, go outside through the front door and head to the back area of the embassy. Here you should find a door leading to Elenwen’s Solar. Inside this room, you should find a steel door on the left that leads to the dungeon. Take the key from the Thalmor Mage that’s guarding this door and enter the dungeon.
Activate the “Escape the Thalmor Embassy” objective. Inside the dungeon you’ll find a table with a book on top called “Thalmor Dossier: Esbern.” Get this book and read it. This should change your objective to “Escape the Thalmor Embassy.”
Get the trapdoor key. After reading the dossier, get back up to Elewen’s Solar. As you open the door this time, two guards will be waiting for you. Using whatever weapon you have, slash and kill these guards. Search their bodies once they’re dead and you should find a trapdoor key. Either of the two guards has the key.
Find the trapdoor. Once you have the key, go back inside the dungeon and turn left from the staircase. You should be able to find a trapdoor in this area. Approach the door and use the key to unlock it. Once open, jump inside and you’ll find yourself in an underground path.
Escape the embassy. Keep on following the underground path towards the exit. Along the way you’ll find a Frost Troll standing in your way—this is your last obstacle. Using whatever weapons you have, attack the Troll and kill it as fast as you can. Once the troll is dead, keep on walking along the underground path until it leads you safely outside the embassy.
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